Estimation of Multiple Breaks in Panel Data Models Based on a Modified Screening and Ranking Algorithm
Structural breaks are often encountered in empirical studies with large panels. This paper considers the estimation of multiple breaks in the mean of panel data model based on a modified screening and ranking algorithm. This algorithm satisfies symmetry and is suitable for both cases where the jump...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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MDPI AG
2023-10-01
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| Series: | Symmetry |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2073-8994/15/10/1890 |
| _version_ | 1797572177428480000 |
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| author | Fuxiao Li Yanting Xiao Zhanshou Chen |
| author_facet | Fuxiao Li Yanting Xiao Zhanshou Chen |
| author_sort | Fuxiao Li |
| collection | DOAJ |
| description | Structural breaks are often encountered in empirical studies with large panels. This paper considers the estimation of multiple breaks in the mean of panel data model based on a modified screening and ranking algorithm. This algorithm satisfies symmetry and is suitable for both cases where the jump size of break points is positive and negative. The break points are first initially screened based on the adaptive Fisher’s statistic, followed by further screening of the break points using the threshold criterion, and finally the final break points are screened using the information criterion. Furthermore, the consistency of the break point estimators is proved. The Monte Carlo simulation results show that the proposed method performs well even if the error terms are serially correlated or cross-sectionally correlated. Finally, two empirical examples illustrate the use of this method. |
| first_indexed | 2024-03-10T20:51:39Z |
| format | Article |
| id | doaj.art-42604e1a65fa49ca99b0651df33f0f23 |
| institution | Directory Open Access Journal |
| issn | 2073-8994 |
| language | English |
| last_indexed | 2024-03-10T20:51:39Z |
| publishDate | 2023-10-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Symmetry |
| spelling | doaj.art-42604e1a65fa49ca99b0651df33f0f232023-11-19T18:18:18ZengMDPI AGSymmetry2073-89942023-10-011510189010.3390/sym15101890Estimation of Multiple Breaks in Panel Data Models Based on a Modified Screening and Ranking AlgorithmFuxiao Li0Yanting Xiao1Zhanshou Chen2Faculty of Science, Xi’an University of Technology, Xi’an 710048, ChinaFaculty of Science, Xi’an University of Technology, Xi’an 710048, ChinaSchool of Mathematics and Statistics, Qinghai Normal University, Xining 810008, ChinaStructural breaks are often encountered in empirical studies with large panels. This paper considers the estimation of multiple breaks in the mean of panel data model based on a modified screening and ranking algorithm. This algorithm satisfies symmetry and is suitable for both cases where the jump size of break points is positive and negative. The break points are first initially screened based on the adaptive Fisher’s statistic, followed by further screening of the break points using the threshold criterion, and finally the final break points are screened using the information criterion. Furthermore, the consistency of the break point estimators is proved. The Monte Carlo simulation results show that the proposed method performs well even if the error terms are serially correlated or cross-sectionally correlated. Finally, two empirical examples illustrate the use of this method.https://www.mdpi.com/2073-8994/15/10/1890multiple breakspanel data modelscreening and ranking algorithmadaptive Fisher’s statisticinformation criterion |
| spellingShingle | Fuxiao Li Yanting Xiao Zhanshou Chen Estimation of Multiple Breaks in Panel Data Models Based on a Modified Screening and Ranking Algorithm Symmetry multiple breaks panel data model screening and ranking algorithm adaptive Fisher’s statistic information criterion |
| title | Estimation of Multiple Breaks in Panel Data Models Based on a Modified Screening and Ranking Algorithm |
| title_full | Estimation of Multiple Breaks in Panel Data Models Based on a Modified Screening and Ranking Algorithm |
| title_fullStr | Estimation of Multiple Breaks in Panel Data Models Based on a Modified Screening and Ranking Algorithm |
| title_full_unstemmed | Estimation of Multiple Breaks in Panel Data Models Based on a Modified Screening and Ranking Algorithm |
| title_short | Estimation of Multiple Breaks in Panel Data Models Based on a Modified Screening and Ranking Algorithm |
| title_sort | estimation of multiple breaks in panel data models based on a modified screening and ranking algorithm |
| topic | multiple breaks panel data model screening and ranking algorithm adaptive Fisher’s statistic information criterion |
| url | https://www.mdpi.com/2073-8994/15/10/1890 |
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