Testing for a Structural Break in a Spatial Panel Model
AbstractWe 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. View Full-Text
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Sengupta, A. Testing for a Structural Break in a Spatial Panel Model. Econometrics 2017, 5, 12.
Sengupta A. Testing for a Structural Break in a Spatial Panel Model. Econometrics. 2017; 5(1):12.Chicago/Turabian Style
Sengupta, Aparna. 2017. "Testing for a Structural Break in a Spatial Panel Model." Econometrics 5, no. 1: 12.
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