Testing for a structural break in a spatial panel model

Artikel

We consider the problem of testing for a structural break in the spatial lag parameter in a panel model (spatial autoregressive). We propose a likelihood ratio test of the null hypothesis of no break against the alternative hypothesis of a single break. The limiting distribution of the test is derived under the null when both the number of individual units N and the number of time periods T is large or N is fixed and T is large. The asymptotic critical values of the test statistic can be obtained analytically. We also propose a break-date estimator that can be employed to determine the location of the break point following evidence against the null hypothesis. We present Monte Carlo evidence to show that the proposed procedure performs well in finite samples. Finally, we consider an empirical application of the test on budget spillovers and interdependence in fiscal policy within the U.S. states.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: Econometrics ; ISSN: 2225-1146 ; Volume: 5 ; Year: 2017 ; Issue: 1 ; Pages: 1-17 ; Basel: MDPI

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Econometrics ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models ; State and Local Budget and Expenditures
• Thema: panel model ; structural change ; spatial econometrics ; spatio-temporal ; U.S. state budget

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Sengupta, Aparna
• Ereignis: Veröffentlichung
• (wer): MDPI
• (wo): Basel
• (wann): 2017

Weitere Informationen

• DOI: doi:10.3390/econometrics5010012
• Handle: http://hdl.handle.net/10419/171911
• Letzte Aktualisierung: 20.09.2024, 08:22 MESZ