Structural Changes in Panel Data Models

Qu Feng and Chihwa Kao

Chapter 4 in Large-Dimensional Panel Data Econometrics:Testing, Estimation and Structural Changes, 2020, pp 57-114 from World Scientific Publishing Co. Pte. Ltd.

Abstract: Based on Baltagi, Feng and Kao (2016, 2019), this chapter studies the issue of structural changes in large panel data regression models. Parameter instability due to new policy implementation or major technological shocks is more likely to occur over a longer time span. Consequently, ignoring structural changes may lead to inconsistent estimation and invalid inference…

Keywords: Correlated Effects; Factor Model; Iterated Principal Components; Structural Change; Common Break; Grouped Pattern; K-means; LASSO; Endogeneity (search for similar items in EconPapers)
JEL-codes: C01 (search for similar items in EconPapers)
Date: 2020
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