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
Scifeed alert for new publicationsNever miss any articles matching your research from any publisher
- Get alerts for new papers matching your research
- Find out the new papers from selected authors
- Updated daily for 49'000+ journals and 6000+ publishers
- Define your Scifeed now
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.
Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.