Joakim Westerlund
Professor, Programchef - Magisterprogram i Dataanalys och ekonomi
Estimation of Panel Data Models with Interactive Effects and Multiple Structural Breaks When T Is Fixed
Författare
Summary, in English
In this article, we propose a new estimator of panel data models with interactive fixed effects and multiple structural breaks that is suitable when the number of time periods, T, is fixed and only the number of cross-sectional units, N, is large. This is done by viewing the determination of the breaks as a shrinkage problem, and to estimate both the regression coefficients, and the number of breaks and their locations by applying a version of the Lasso approach. We show that with probability approaching one the approach can correctly determine the number of breaks and the dates of these breaks, and that the estimator of the regime-specific regression coefficients is consistent and asymptotically normal. We also provide Monte Carlo results suggesting that the approach performs very well in small samples, and empirical results suggesting that the coefficients of the deterrence model of crime are not constant as typically assumed but subject to structural change.
Avdelning/ar
- Nationalekonomiska institutionen
Publiceringsår
2021
Språk
Engelska
Publikation/Tidskrift/Serie
Working Papers
Issue
2021:15
Fulltext
- Available as PDF - 555 kB
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Dokumenttyp
Working paper
Ämne
- Economics
Nyckelord
- Panel data
- Interactive effects
- Common factors
- Structural change
- Lasso
- C13
- C23
- C33
- K42
Status
Published