8 citations · 13 across the 5 of their papers we have counts for
6 papers
Estimation of Panel Data Models with Nonlinear Factor Structure
Christina Maschmann, Joakim Westerlund
Panel data models with unobserved heterogeneity in the form of interactive effects standardly assume that the time effects -- or ``common factors'' -- enter linearly. This assumpti…
Simple Difference-in-Differences Estimation in Fixed-T Panels
Nicholas Brown, Kyle Butts, Joakim Westerlund
The present paper proposes a new treatment effects estimator that is valid when the number of time periods is small, and the parallel trends condition holds conditional on covariat…
Multiple Structural Breaks in Interactive Effects Panel Data and the Impact of Quantitative Easing on Bank Lending
Jan Ditzen, Yiannis Karavias, Joakim Westerlund
This paper develops a new toolbox for multiple structural break detection in panel data models with interactive effects. The toolbox includes tests for the presence of structural b…
Interactive Effects Panel Data Models with General Factors and Regressors
Bin Peng, Liangjun Su, Joakim Westerlund +1
This paper considers a model with general regressors and unobservable factors. An estimator based on iterated principal components is proposed, which is shown to be not only asympt…
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…
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…