Common breaks in time trends for large panel data with a factor structure

• Published in: The econometrics journal Vol. 17; no. 3; pp. 301 - 337
• Main Author: Kim, Dukpa
• Format: Journal Article
• Language: English
• Published: Oxford Blackwell Publishing Ltd 01.10.2014; Royal Economic Society and John Wiley & Sons Ltd; Oxford University Press
• Subjects: Analysis; Analytical estimating; Common factor; Confidence intervals; Convergence; Correlation; Deterministic time trend; Econometrics; Economic analysis; Economic models; Economic trends; Eigenvalues; Eigenvectors; Error; Estimating techniques; Estimation; Estimation methods; Estimators; Large panel data; Matrices; Monte Carlo simulation; Objective functions; Panel data; Structural break; Studies; Time series; Trends

In this paper, I analyse issues related to the estimation of a common break in a large panel of time series data. Each series in the panel consists of a linear time trend and a random error. The linear time trend is subject to a break that occurs at the same date for all series. The error term is cr...