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econ.EM2021
Structural Breaks in Interactive Effects Panels and the Stock Market Reaction to COVID-19
Yiannis Karavias, Paresh Narayan, Joakim Westerlund
Dealing with structural breaks is an important step in most, if not all, empirical economic research. This is particularly true in panel data comprised of many cross-sectional unit…
econ.EM2021
Testing and Estimating Structural Breaks in Time Series and Panel Data in Stata
Jan Ditzen, Yiannis Karavias, Joakim Westerlund
Identifying structural change is a crucial step in analysis of time series and panel data. The longer the time span, the higher the likelihood that the model parameters have change…