A wavelet method for panel models with jump discontinuities in the parameters

dc.citation.firstpage399en_US
dc.citation.issueNumber2en_US
dc.citation.journalTitleJournal of Econometricsen_US
dc.citation.lastpage422en_US
dc.citation.volumeNumber226en_US
dc.contributor.authorBada, O.en_US
dc.contributor.authorKneip, A.en_US
dc.contributor.authorLiebl, D.en_US
dc.contributor.authorMensinger, T.en_US
dc.contributor.authorGualtieri, J.en_US
dc.contributor.authorSickles R.C.en_US
dc.date.accessioned2022-02-08T14:48:34Zen_US
dc.date.available2022-02-08T14:48:34Zen_US
dc.date.issued2022en_US
dc.description.abstractWhile a substantial literature on structural break change point analysis exists for univariate time series, research on large panel data models has not been as extensive. In this paper, a novel method for estimating panel models with multiple structural changes is proposed. The breaks are allowed to occur at unknown points in time and may affect the multivariate slope parameters individually. Our method adapts Haar wavelets to the structure of the observed variables in order to detect the change points of the parameters consistently. We also develop methods to address endogenous regressors within our modeling framework. The asymptotic property of our estimator is established. In our application, we examine the impact of algorithmic trading on standard measures of market quality such as liquidity and volatility over a time period that covers the financial meltdown that began in 2007. We are able to detect jumps in regression slope parameters automatically without using ad-hoc subsample selection criteria.en_US
dc.identifier.citationBada, O., Kneip, A., Liebl, D., et al.. "A wavelet method for panel models with jump discontinuities in the parameters." <i>Journal of Econometrics,</i> 226, no. 2 (2022) Elsevier: 399-422. https://doi.org/10.1016/j.jeconom.2021.09.006.en_US
dc.identifier.doihttps://doi.org/10.1016/j.jeconom.2021.09.006en_US
dc.identifier.urihttps://hdl.handle.net/1911/111977en_US
dc.language.isoengen_US
dc.publisherElsevieren_US
dc.rightsThis is an author's peer-reviewed final manuscript, as accepted by the publisher. The published article is copyrighted by Elsevier.en_US
dc.subject.keywordHaar waveletsen_US
dc.subject.keywordAdaptive lassoen_US
dc.subject.keywordPanel dataen_US
dc.subject.keywordStructural changeen_US
dc.subject.keywordPenalized IVen_US
dc.subject.keywordAlgorithmic tradingen_US
dc.subject.keywordMarket efficiencyen_US
dc.titleA wavelet method for panel models with jump discontinuities in the parametersen_US
dc.typeJournal articleen_US
dc.type.dcmiTexten_US
dc.type.publicationpost-printen_US
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