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- Publisher
- Springer Journals
- Copyright
- Copyright © 2019 by The Editorial Office of AMAS & Springer-Verlag GmbH Germany
- Subject
- Mathematics; Applications of Mathematics; Math Applications in Computer Science; Theoretical, Mathematical and Computational Physics
- ISSN
- 0168-9673
- eISSN
- 1618-3932
- DOI
- 10.1007/s10255-019-0859-x
- Publisher site
- See Article on Publisher Site
Abstract
We consider estimating multiple structural changes occurring at unknown common dates in a panel data regression model with restrictions imposed on the coefficients. We establish the consistency and rate of convergence of the structural change estimates and the asymptotic distribution of the parameter estimates. It is shown that the efficiency of the parameter estimators is increased using the restrictions. An efficient dynamic algorithm is proposed to obtain the break date estimates and the parameter estimates. In addition, we propose a testing procedure for the existence of the change points with the restrictions and derive the asymptotic distribution under the null hypothesis of the test statistics. Simulation studies are presented to investigate the performance of the proposed method in finite samples.
Journal
Acta Mathematicae Applicatae Sinica – Springer Journals
Published: Dec 19, 2019