Econometrics and Applied Economics workshop: Dr Degui Li
| Dates: | 8 October 2015 |
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| Times: | 16:15 - 17:45 |
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| What is it: | Seminar |
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| Organiser: | School of Social Sciences |
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| Who is it for: | University staff |
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| Speaker: | Degui Li |
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Econometrics and Applied Economics workshop
Panel Data Models with Interactive Fixed Effects and Multiple Structural Breaks
Abstract:
In this paper we consider estimation of common structural breaks in panel data models with interactive fixed effects which are unobservable. We introduce a penalized principal
component (PPC) estimation procedure with an adaptive group fused LASSO to detect the multiple structural breaks in the models. Under some mild conditions, we show that with
probability approaching one the proposed method can correctly determine the unknown number of breaks and consistently estimate the common break dates. Furthermore, we estimate
the regression coefficients through the post-LASSO method and establish the asymptotic distribution theory for the resulting estimators. The developed methodology and theory are
applicable to the case of dynamic panel data models. The Monte Carlo simulation results demonstrate that the proposed method works well in finite samples with low false detection
probability when there is no structural break and high probability of correctly estimating the break numbers when the structural breaks exist. We finally apply our method to study
the environmental Kuznets curve for 74 countries over 40 years and detect two breaks in the data.
Speaker
Degui Li
Role: Senior Lecturer
Organisation: University of York
Travel and Contact Information
Find event
Boardroom, 2nd floor
Arthur Lewis Building
Manchester
