Inference and testing breaks in large dynamic panels with strong cross sectional dependence

DOI10.1016/j.jeconom.2016.09.008zbMath1403.62164OpenAlexW2280289218MaRDI QIDQ503563

Javier Hidalgo, Marcia Schafgans

Publication date: 13 January 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://eprints.lse.ac.uk/68839/1/Schafgans_Inference_and_testing_breaks_author_2017_LSERO.pdf

zbMATH Keywords

homogeneitycentral limit theoremsbootstrap algorithmscross-sectional strong-dependencelarge dynamic panel data models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; economic indices and measures (91B82) Non-Markovian processes: hypothesis testing (62M07)

Related Items (6)

Bootstrap inference under cross‐sectional dependence ⋮ Structural Breaks in Interactive Effects Panels and the Stock Market Reaction to COVID-19 ⋮ Estimation of Panel Data Models with Random Interactive Effects and Multiple Structural Breaks when T is Fixed ⋮ Common Breaks in Means for Cross‐Correlated Fixed‐T Panel Data ⋮ Inference and testing breaks in large dynamic panels with strong cross sectional dependence ⋮ Inference without smoothing for large panels with cross-sectional and temporal dependence

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