8 citations · 13 across the 5 of their papers we have counts for
3 papers · 1 filter
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…