Estimation of Multiple Breaks in Panel Data Models Based on a Modified Screening and Ranking Algorithm
Fuxiao Li,
Yanting Xiao,
Zhanshou Chen
Abstract: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,… Show more
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