In this paper we consider estimation and inference of common breaks in panel data models
via adaptive group fused Lasso. We consider two approaches—penalized least squares …

Panel data are modern statistical tools which are commonly used in all kinds of econometric
problems under various regularity assumptions. The panel data models with changepoints …

In this article, we consider the instrumental variable estimation for causal regression
parameters with multiple unknown structural changes across subpopulations. We propose a …

This paper proposes a multiple threshold factor model to enhance the flexibility in modeling
the underlying regime switching mechanism for high dimensional time series. The factor …

Existing panel data methods remove unobserved individual effects before change point
estimation through data transformations such as first‐differencing. In this paper, we show …

In this study, we examine the theory and methodology of statistical inferences of thresholds
and change-points in threshold autoregressive models. We show that least squares …

Even though prices at the macro level in Japan, like in Europe and the United States, are
sticky, individual prices as measured in micro data change frequently. The reason for this …

The author analyzes the effects of health burdens on labour productivity amid the Covid-19
pandemic in Africa. He employed Common Correlated Effects (CCE) estimation of …

The implied volatility function and the implied volatility surface are both key tools for
analyzing financial and derivative markets and various approaches were proposed to …

This paper studies vector autoregressive models with parsimoniously time-varying
parameters. The parameters are assumed to follow parsimonious random walks, where …