Common breaks in means for panel data under short-range dependence

Daiqing Xi and Tianxiao Pang

Communications in Statistics - Theory and Methods, 2021, vol. 50, issue 2, 486-505

Abstract: In this paper, we revisit the model studied in Bai (2010), in which a common break in means for panel data with linear-process errors was studied. The errors admit the form of xit=∑j=0∞aijεi,t−j for series i. Bai (2010) conducted the change-point analysis under the situation where ∑j=1∞j|aij|

Date: 2021
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DOI: 10.1080/03610926.2019.1637000

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