Monte Carlo comparison of model and moment selection and classical inference approaches to break detection in panel data models

DOI10.1016/j.econlet.2005.01.010zbMath1255.62347OpenAlexW1968999535MaRDI QIDQ1927866

Elias Tzavalis, Stefan De Wachter

Publication date: 2 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2005.01.010

zbMATH Keywords

panel datastructural breakmodel and moment selection

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Related Items (6)

Detection of structural breaks in linear dynamic panel data models ⋮ Shrinkage quantile regression for panel data with multiple structural breaks ⋮ Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso ⋮ Common breaks in means and variances for panel data ⋮ Estimating a common deterministic time trend break in large panels with cross sectional dependence ⋮ Unnamed Item

Uses Software

• Ox

Cites Work

• Efficient estimation of models for dynamic panel data
• Detection of structural breaks in linear dynamic panel data models
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
• Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models

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