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Title
A new test for common breaks in heterogeneous panel data models
Creator
Creator Name
Jiang, Peiyun Jiang, Peiyun
Affiliation
Affiliation Name
Hitotsubashi University
Creator Name
Kurozumi, Eiji Kurozumi, Eiji
Affiliation
Affiliation Name
Hitotsubashi University
Editor
Contributor Name
Hitotsubashi Institute for Advanced Study, Hitotsubashi University
Key Word
CUSUM test
panel data
structural change
common breaks
JEL
C12
C23
Abstract
In this paper, we develop a new test to detect whether break points are common in heterogeneous panel data models where the time series dimension T could be large relative to cross-section dimension N. The error process is assumed to be cross-sectionally independent. The test is based on the cumulative sum (CUSUM) of ordinary least squares (OLS) residuals. We derive the asymptotic distribution of the detecting statistic under the null hypothesis, while proving the consistency of the test under the alternative. Monte Carlo simulations and an empirical example show good performance of the test.
Description
This version: May 20, 2021
Publisher
Hitotsubashi Institute for Advanced Study, Hitotsubashi University
Issued Date
2021-05
Language
英語(eng)
Resource Type
technical report（テクニカルレポート）
Version Type
VoR
Relation - Is Part Of
Related Title
Discussion paper series ; No. HIAS-E-107
Number of Pages
69
Sponsorship
Kurozumi’s research was supported by JSPS KAKENHI Grant Number 19K01585.
Appears in Collections
Discussion paper series / Hitotsubashi Institute for Advanced Study, Hitotsubashi University
URL
https://hdl.handle.net/10086/71900