Determination of the Number of Breaks in Heterogeneous Panel Data Models-Reference-Cited by-同舟云学术

Determination of the Number of Breaks in Heterogeneous Panel Data Models

Published:2024-08-08 Issue: Volume: Page:
ISSN:1081-1826
Container-title:Studies in Nonlinear Dynamics & Econometrics
language:en
Short-container-title:

Author:

Wang Lu¹,Hu Shuke¹

Affiliation:

1. School of Mathematics and Statistics , Huanghuai University , Zhumadian 463000 , China

Abstract

Abstract This paper considers a heterogeneous panel data model with an unknown number of breaks. We propose a so-called two-stage procedure to determine the number of breaks and detect the location of break points. The consistency of the estimated number of breaks and the estimated break points are established under fairly general conditions. Monte Carlo simulations and two empirical applications are provided to demonstrate the finite sample performance of the proposed method.

Funder

Henan Provincial Science and Technology Research Project

Publisher

Walter de Gruyter GmbH

Link

https://www.degruyter.com/document/doi/10.1515/snde-2024-0018/pdf

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