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econ.EM2026
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…
econ.EM2025
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…