Estimating a common deterministic time trend break in large panels with cross sectional dependence

By Dukpa Kim. 2011

89 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/1ef145646e1ae72243aeadb40a30ee7c9f32bbc3

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In Economics and Econometrics

Citations in the corpus

Estimation and identification of change points in panel models with nonstationary or stationary regressors and error term (2017, unknown): “To investigate the eﬀect of cross-sectional dependence, following Kim (2011), we consider the following model iid where F t = 0 .”
SHRINKAGE ESTIMATION OF REGRESSION MODELS WITH MULTIPLE STRUCTURAL CHANGES (2015, unknown): “See Tibshirani (1996) for the introduction of Lasso and Knight and Fu (2000) for the first systematic study of the asymptotic properties of Lasso-type estimators.”
Estimation of Panel Group Structure Models with Structural Breaks in Group Memberships and Coefficients (2020, unknown): “On the other hand, while there is a vast volume of literature on structural breaks in panel data models (Bai, 2010; Wachter and Tzavalis, 2012; Kim, 2011; Baltagi et al., 2017; Qian and Su, 2016; Li et al., 2016, among others), most studies assume that coefficients are homogeneous across units or…”
Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso (2016, unknown): “The second category considers estimation and inference of common breaks in heterogenous panel data models; see Bai (2010), Kim (2011, 2014), Hsu and Lin (2012), Baltagi et al. (2014), among others.”
Sieve Estimation of Time-Varying Panel Data Models With Latent Structures (2019, background): “For this reason, numerous studies have been devoted to test for structural changes in panel data models; see Han and Park (1989), Bai and Lluís Carrion-I-Silvestre (2009), Bai (2010), Kim (2011), Chen and Huang (2014), Li, Qian, and Su (2016), and Qian and Su (2016), among others.”
Structural Breaks in Interactive Effects Panels and the Stock Market Reaction to COVID-19 (2021, methodology): “However, instead of minimizing the OLS residuals, which will generally lead to inconsistency because of the unattended factors (Kim 2011), we minimize the CCE residuals.”