Testing for structural changes in panel data models with interactive fixed effects via discrete Fourier transform
基于离散傅里叶变换检验交互固定效应面板模型的结构变化AI 解读 ↓
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基于离散傅里叶变换检验交互固定效应面板模型的结构变化AI 解读 ↓
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We propose a discrete Fourier transform (DFT)-based test for detecting structural changes in panel data models with interactive fixed effects (IFE). When structural changes are present but ignored, the conventional asymptotic distribution of the least squares (LS) estimator of Bai (2009) may no longer provide reliable inference, and the resulting residuals contain signals of parameter instability. Our test exploits this feature by comparing the DFT of weighted residuals to the flat (zero) spectrum implied under the null hypothesis of no structural change. We establish the theoretical properties of the test, including its asymptotic null distribution and its local and global power, and propose a bootstrap procedure for valid inference in finite samples. Notably, the proposed test can detect a class of local alternatives converging to the null at the rate of {N}^{-1/2}{T}^{-1/2}, matching the convergence rate of the slope estimators, where N and T are the cross-sectional and time dimensions, respectively. Monte Carlo simulations demonstrate the excellent performance of the proposed test across various types of structural changes in both factor loadings and slope coefficients. We further illustrate the empirical relevance of our method by applying it to the environmental Kuznets curve and the relationship between health expenditure and income. Our findings highlight the importance of accounting for structural changes in panel data models with IFE.
线性面板模型共同变点的 CUSUM 估计量渐近性质
We consider the problem of estimating the common time of a change in the mean parameters of panel data when dependence is allowed between the cross-sectional units in the form of a common factor. A CUSUM type estimator is proposed, and we establish first and second order asymptotics that can be used to derive consistent confidence intervals for the time of change. Our results improve upon existing theory in two primary directions. Firstly, the conditions we impose on the…
交互效应面板模型中的多重结构突变
ABSTRACT This paper develops new econometric methods for multiple structural break detection in panel data models with interactive fixed effects. The new methods include tests for the presence of structural breaks, estimators for the number of breaks and their location, and a method for constructing asymptotically valid break date confidence intervals. The new methodology is applied to a large panel of US banks for a period characterized by massive quantitative easing…
具有时变潜在分组结构的面板数据模型
This paper considers a linear panel model with interactive fixed effects and unobserved individual and time heterogeneities that are captured by some latent group structures and an unknown structural break, respectively. To enhance realism, the model may have different numbers of groups and/or different group memberships before and after the break. With preliminary nuclear norm regularized estimation followed by row- and column-wise linear regressions, we estimate the break…
具有时变潜在分组结构的面板数据模型
This paper considers a linear panel model with interactive fixed effects and unobserved individual and time heterogeneities that are captured by some latent group structures and an unknown structural break, respectively. To enhance realism the model may have different numbers of groups and/or different group memberships before and after the break. With the preliminary nuclear-norm-regularized estimation followed by row- and column-wise linear regressions, we estimate the…
交互效应面板中的多重结构突变与量化宽松对银行放贷的影响
This paper develops a new toolbox for multiple structural break detection in panel data models with interactive effects. The toolbox includes tests for the presence of structural breaks, a break date estimator, and a break date confidence interval. The new toolbox is applied to a large panel of US banks for a period characterized by massive quantitative easing programs aimed at lessening the impact of the global financial crisis and the COVID--19 pandemic. The question we…
因子驱动的双区制回归
We propose a novel two-regime regression model where regime switching is driven by a vector of possibly unobservable factors. When the factors are latent, we estimate them by the principal component analysis of a panel data set. We show that the optimization problem can be reformulated as mixed integer optimization, and we present two alternative computational algorithms. We derive the asymptotic distribution of the resulting estimator under the scheme that the threshold…