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http://bura.brunel.ac.uk/handle/2438/30332| Title: | Multiple Structural Breaks in Interactive Effects Panel Data Models |
| Authors: | Ditzen, J Karavias, Y Westerlund, J |
| Keywords: | bank lending;cross-section dependence;interactive fixed effects;panel data;quantitative easing;structural break |
| Issue Date: | 12-Nov-2024 |
| Publisher: | Wiley |
| Citation: | Ditzen, J., Karavias, Y. and Westerlund, J. (2024) 'Multiple Structural Breaks in Interactive Effects Panel Data Models', Journal of Applied Econometrics, 40 (1), pp. 74 - 88. doi: 10.1002/jae.3097. |
| Abstract: | This paper develops new econometric methods for multiple structural break detection in panel data models with interactive fixed effects. The new methods include tests for the presence of structural breaks, estimators for the number of breaks and their location, and a method for constructing asymptotically valid break date confidence intervals. The new methodology is applied to a large panel of US banks for a period characterized by massive quantitative easing programs aimed at lessening the impact of the global financial crisis and the COVID-19 pandemic. The question we ask is as follows: Have these programs been successful in spurring bank lending in the US economy? The short answer turns out to be: “No”. |
| Description: | Data Availability Statement: All data and codes necessary to replicate the results in the empirical application are available in the journal data archive (https://doi.org/10.15456/jae.2024255.1442474978). |
| URI: | https://bura.brunel.ac.uk/handle/2438/30332 |
| DOI: | https://doi.org/10.1002/jae.3097 |
| ISSN: | 0883-7252 |
| Other Identifiers: | ORCiD: Yiannis Karavias https://orcid.org/0000-0002-1208-5537 ORCiD: Yiannis Karavias https://orcid.org/0000-0002-1208-5537 |
| Appears in Collections: | Dept of Economics and Finance Research Papers |
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| File | Description | Size | Format | |
|---|---|---|---|---|
| FullText.pdf | Copyright © 2024 The Author(s). Journal of Applied Econometrics published by John Wiley & Sons Ltd. This is an open access article under the terms of the Creative Commons Attribution License (https://creativecommons.org/licenses/by/4.0/), which permits use, distribution and reproduction in any medium, provided the original work is properly cited. | 2.34 MB | Adobe PDF | View/Open |
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