Work

On Robustness to Random Breaks in Panel Data

Year: 2025

Type: article

Abstract: ABSTRACT One of the attractions of panel data is the ability to pool information regarding parameters that are common across the cross‐section. In fact, pooling is standard even though there are often reasons to believe that parameters are not common. One reason for this practice is that there is quite some evidence to suggest that estimators of common parameters are robust to random heterogeneity, so much so that this type of robustness is sometimes taken for granted. In the present paper, we consider the problem of least squares estimation of the breakpoint in a panel data model with a breaking mean. This part of the literature standardly assumes that there is a common breakpoint, and all results available are based on this assumption. Yet, it is not difficult to find studies suggesting that the least squares breakpoint estimator should be robust to random heterogeneity. We show that it is not, except in special circumstances.

Source: Oxford Bulletin of Economics and Statistics

DOI: 10.1111/obes.70032

Authors: Yousef Kaddoura, Joakim Westerlund

Institutions: Örebro University, Deakin University, Lund University

Language: English

Topic: Spatial and Panel Data Analysis

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $3,840

Funder: Knut och Alice Wallenbergs Stiftelse