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Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/30332
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dc.contributor.authorDitzen, J-
dc.contributor.authorKaravias, Y-
dc.contributor.authorWesterlund, J-
dc.date.accessioned2024-12-08T17:25:13Z-
dc.date.available2024-12-08T17:25:13Z-
dc.date.issued2024-11-12-
dc.identifierORCiD: Yiannis Karavias https://orcid.org/0000-0002-1208-5537-
dc.identifierORCiD: Yiannis Karavias https://orcid.org/0000-0002-1208-5537-
dc.identifier.citationDitzen, 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.en_US
dc.identifier.issn0883-7252-
dc.identifier.urihttps://bura.brunel.ac.uk/handle/2438/30332-
dc.descriptionData 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).en_US
dc.description.abstractThis 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”.en_US
dc.description.sponsorshipDitzen acknowledges financial support from Italian Ministry MIUR under the PRIN project Hi-Di NET – Econometric Analysis of High Dimensional Models with Network Structures in Macroeconomics and Finance (grant 2017TA7TYC). Westerlund would like to thank the Knut and Alice Wallenberg Foundation for financial support through a Wallenberg Academy Fellowship.en_US
dc.format.extent74 - 88-
dc.format.mediumPrint-Electronic-
dc.language.isoen_USen_US
dc.publisherWileyen_US
dc.rightsAttribution 4.0 International-
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/-
dc.subjectbank lendingen_US
dc.subjectcross-section dependenceen_US
dc.subjectinteractive fixed effectsen_US
dc.subjectpanel dataen_US
dc.subjectquantitative easingen_US
dc.subjectstructural breaken_US
dc.titleMultiple Structural Breaks in Interactive Effects Panel Data Modelsen_US
dc.typeArticleen_US
dc.date.dateAccepted2024-09-03-
dc.identifier.doihttps://doi.org/10.1002/jae.3097-
dc.relation.isPartOfJournal of Applied Econometrics-
pubs.issue1-
pubs.publication-statusPublished-
pubs.volume40-
dc.identifier.eissn1099-1255-
dc.rights.licensehttps://creativecommons.org/licenses/by/4.0/legalcode.en-
dc.rights.holderThe Author(s)-
Appears in Collections:Dept of Economics and Finance Research Papers

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