Multiple Structural Breaks in Interactive Effects Panel Data Models
Jan Ditzen,
Yiannis Karavias and
Joakim Westerlund
Journal of Applied Econometrics, 2025, vol. 40, issue 1, 74-88
Abstract:
This paper develops new econometric methods for multiple structural break detection in panel data models with interactive fixed effects. The new methods include tests for the presence of structural breaks, estimators for the number of breaks and their location, and a method for constructing asymptotically valid break date confidence intervals. The new methodology is applied to a large panel of US banks for a period characterized by massive quantitative easing programs aimed at lessening the impact of the global financial crisis and the COVID‐19 pandemic. The question we ask is as follows: Have these programs been successful in spurring bank lending in the US economy? The short answer turns out to be: “No”.
Date: 2025
References: Add references at CitEc
Citations:
Downloads: (external link)
https://doi.org/10.1002/jae.3097
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:wly:japmet:v:40:y:2025:i:1:p:74-88
Ordering information: This journal article can be ordered from
http://www3.intersci ... e.jsp?issn=0883-7252
cs-journals@wiley.co.uk
Access Statistics for this article
Journal of Applied Econometrics is currently edited by M. Hashem Pesaran
More articles in Journal of Applied Econometrics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery (contentdelivery@wiley.com).