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CEstimation of Structural Breaks in Large Panels with Cross-Sectional Dependence

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journal contribution
posted on 2022-11-09, 02:24 authored by Jiti Gao, Guangming Pan, Yanrong Yang
This paper considers modelling and detecting structure breaks associated with cross-sectional dependence for large dimensional panel data models, which are popular

History

Classification-JEL

C21, C32

Creation date

2016-07-27

Working Paper Series Number

12/16

Length

45

File-Format

application/pdf

Handle

RePEc:msh:ebswps:2016-12

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    Keywords

    cross-sectional averagesdynamic factor modeljoint estimationmarginal estimationstrong factor loading

    Licence

    In Copyright

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