کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5096809 | 1376551 | 2010 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Common breaks in means and variances for panel data
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Common breaks in means and variances for panel data Common breaks in means and variances for panel data](/preview/png/5096809.png)
چکیده انگلیسی
This paper establishes the consistency of the estimated common break point in panel data. Consistency is obtainable even when a regime contains a single observation, making it possible to quickly identify the onset of a new regime. We also propose a new framework for developing the limiting distribution for the estimated break point, and show how to construct confidence intervals. The least squares method is used for estimating breaks in means and the quasi-maximum likelihood (QML) method is used to estimate breaks in means and in variances. QML is shown to be more efficient than the least squares even if there is no change in the variances.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 157, Issue 1, July 2010, Pages 78-92
Journal: Journal of Econometrics - Volume 157, Issue 1, July 2010, Pages 78-92
نویسندگان
Jushan Bai,