Estimation and Identification of Change Points in Panel Models
2008/06/03
研討會日期 : 2008-06-03
時間 : 14:30
主講人 : 高志華
地點 : B棟110室
演講者簡介 : Professor Chihwa Kao 為 Ph.D. in Economics，State University of New York at Stony Brook (1983)。
目前為Professor，Syracuse University。
其主要研究領域為Econometrics of Panel Data、Nonlinear Times Series及Financial Econometrics。
演講摘要 : This paper studies a panel data regression setting, where a break occurs at a unknown common date. In this paper, we establish the consistency and rate of convergence of the change point estimator. The break date can be estimated consistently both in fixed time horizon and large panels, which indicates that the structural change can be well detected even in short panels. Furthermore, the limiting distribution is derived without the assumption of shrinking magnitude of break. These two features are different from the time series change point literature. Monte Carlo simulations are presented to investigate the finite sample properties of the panel change point estimator.
