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研討會總覽

Modelling and Testing for Structural Breaks in Panels with Common and Idiosyncratic Stochastic Trend

2005/02/01
  • 研討會日期 : 2005-02-01
  • 時間 : 15:00
  • 主講人 : Prof. Kao, Chihwa
  • 地點 : C棟103室
  • 演講者簡介 : Prof. Kao, Chihwa 為Ph.D. in Economics，SUNY at Stony Brook　(1983)。。 目前為Professor，Syracuse University。 其主要研究領域為財經計量。
  • 演講摘要 : This paper studies testing for detecting a break at an unknown date in panel data with common stochastic and idiosyncratic trends. To model the common stochastic trends, we assume that the data is generated by common factors. We propose tests and derive their limiting distributions under the null of no change point. We derive the limiting distribution and the proposed test and tabulate the critical values. Monte Carlo simulations are performed to examine the size and power of the proposed tests.