Structural breaks in panel data: large number of panels and short length time series

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985998%3A_____%2F19%3A00507530" target="_blank" >RIV/67985998:_____/19:00507530 - isvavai.cz</a>

Alternative codes found

RIV/00216208:11320/19:10403296

Result on the web

<a href="https://oadoi.org/10.1080/07474938.2018.1454378" target="_blank" >https://oadoi.org/10.1080/07474938.2018.1454378</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1080/07474938.2018.1454378" target="_blank" >10.1080/07474938.2018.1454378</a>

Result language

angličtina

Original language name

Structural breaks in panel data: large number of panels and short length time series

Original language description

The detection of (structural) breaks or the so called change point problem has drawn increasing attention from the theoretical, applied economic and financial fields. Much of the existing research concentrates on the detection of change points and asymptotic properties of their estimators in panels when N, the number of panels, as well as T, the number of observations in each panel are large. In this paper we pursue a different approach, i.e., we consider the asymptotic properties when N→∞ while keeping T fixed. This situation is typically related to large (firm-level) data containing financial information about an immense number of firms/stocks across a limited number of years/quarters/months. We propose a general approach for testing for break(s) in this setup. In particular, we obtain the asymptotic behavior of test statistics. We also propose a wild bootstrap procedure that could be used to generate the critical values of the test statistics. The theoretical approach is supplemented by numerous simulations and by an empirical illustration. We demonstrate that the testing procedure works well in the framework of the four factors CAPM model. In particular, we estimate the breaks in the monthly returns of US mutual funds during the period January 2006 to February 2010 which covers the subprime crises.

Czech name

—

Czech description

—

Type

J_imp - Article in a specialist periodical, which is included in the Web of Science database

CEP classification

—

OECD FORD branch

50202 - Applied Economics, Econometrics

Project

<a href="/en/project/GA15-09663S" target="_blank" >GA15-09663S: Modeling dynamic financial processes with structural breaks</a><br>

Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2019

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Econometric Reviews

ISSN

0747-4938

e-ISSN

—

Volume of the periodical

38

Issue of the periodical within the volume

7

Country of publishing house

US - UNITED STATES

Number of pages

28

Pages from-to

828-855

UT code for WoS article

000472105300006

EID of the result in the Scopus database

2-s2.0-85067299157