Oualid Bada, Alois Kneip, Dominik Liebl, Tim Mensinger, James Gualtieri, Robin C. Sickles
arXiv 22 Sep 2021 · Econometrics · publishedJournal of Econometrics (2021)
arXiv:2109.10950 · PDF · DOI · OpenAlex · Extracted main text
While 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.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Qian, J. and Su, L (2016) Shrinkage Estimation of Common Breaks in Panel Data Models via Adaptive Group Fused Lasso | 1.000 | 17 | 3 | 100% |
| 2 | Bai, J. and Perron, P (2003) Computation and Analysis of Multiple Structural Change Models | 1.000 | 8 | 3 | 100% |
| 3 | Bai, J. and Perron, P (1998) Estimating and Testing Linear Models with Multiple Structural Changes | 0.874 | 5 | 2 | 100% |
| 4 | Bada, O., Kneip, A., Liebl, D., Mensinger, T., Gualtieri, J., and Si… (2021) A wavelet method for panel models with jump discontinuities in the parameters self | 0.843 | 3 | 3 | 100% |
| 5 | Bai, J (2009) Panel Data Models With Interactive Fixed Effects | 0.644 | 2 | 2 | 100% |
| 6 | Shorter, G. and Miller, R. S (2014) High-frequency trading: Background, concerns, and regulatory developments | 0.644 | 2 | 2 | 100% |
| 7 | Bai, J (2010) Common Breaks in Means and Variances for Panel Data | 0.511 | 2 | 1 | 100% |
| 8 | Boehmer, E., Fong, K., and Wu, J (2012) International Evidence on Algorithmic Trading | 0.511 | 2 | 1 | 100% |
| 9 | Donoho, D. L. and Johnstone, I. M (1994) Ideal Spatial Adaptation by Wavelet Shrinkage | 0.511 | 2 | 1 | 100% |
| 10 | Hasbrouck, J. and Saar, G (2013) Low-latency Trading | 0.511 | 2 | 1 | 100% |
Showing the top 10 of 34 scored citations.