Estimation of a level shift in panel data with fractionally integrated errors
type: Item
instance of: scholarly article
title: Estimation of a level shift in panel data with fractionally integrated errors
zbMATH Open document ID: 1471.91366
author: Seong Yeon Chang
published in: Economics Letters
publication date: 2021-09-16T00:00:00Z
Mathematics Subject Classification ID: 91B82
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 7396102
zbMATH Keywords: change points
zbMATH Keywords: common breaks
zbMATH Keywords: fractional processes
zbMATH Keywords: level shifts
zbMATH Keywords: panel data
zbMATH Keywords: structural breaks
MaRDI profile type: Publication
full work available at URL: j.econlet.2021.109971
OpenAlex ID: W3177270588
cites work: LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
cites work: Common breaks in means and variances for panel data
cites work: Estimating and Testing Linear Models with Multiple Structural Changes
cites work: Estimation and identification of change points in panel models with nonstationary or stationary regressors and error term
cites work: Q4348180
cites work: Change-point estimation of nonstationary \(I(d)\) processes
cites work: Estimating a common deterministic time trend break in large panels with cross sectional dependence
cites work: Change‐Point Estimation of Fractionally Integrated Processes
cites work: Structural breaks with deterministic and stochastic trends
cites work: The distance between rival nonstationary fractional processes
cites work: ASYMPTOTICS FOR GENERAL FRACTIONALLY INTEGRATED PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS
DOI: 10.1016/J.ECONLET.2021.109971
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description: scientific article; zbMATH DE number 7396102