Yousef Kaddoura
arXiv 7 Aug 2026 · Econometrics
arXiv:2608.07162 · PDF · Extracted main text
Many economic and financial relationships may change gradually rather than abruptly. We study panel data models in which the coefficient vector is continuous and piecewise linear in calendar time, with a finite number of unknown kink dates at which its slope changes. We propose a penalised least squares estimator that applies adaptive weighted group penalties to the second differences of the coefficient path, and develop asymptotic theory showing that it recovers both the number and the locations of the kinks with probability approaching one. To our knowledge, this is the first panel framework to estimate an unknown number of common kink dates in a time-varying coefficient path under fixed effects. We establish that endpoint slopes converge at the usual cubic regime-length rate and interior slopes at rates determined by their own and adjacent regime lengths. We also develop a coefficient-by-coefficient extension allowing individual regressors to kink at different dates. Monte Carlo evidence supports the good finite sample properties, and we illustrate the method through an application in macro-finance, specifically the relationship between debt and growth.
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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, Junhui and Su, Liangjun (2016) Shrinkage Estimation of Common Breaks in Panel Data Models via Adaptive Group Fused Lasso | 1.000 | 10 | 5 | 100% |
| 2 | Kaddoura, Yousef (2025) Estimating Coefficient-by-Coefficient Breaks in Panel Data Models self | 0.874 | 5 | 2 | 100% |
| 3 | Bai, Jushan and Perron, Pierre (1998) Estimating and Testing Linear Models with Multiple Structural Changes | 0.811 | 4 | 2 | 100% |
| 4 | Kaddoura, Yousef and Westerlund, Joakim (2023) Estimation of Panel Data Models with Random Interactive Effects and Multiple Structural Breaks when $T$ is Fixed self | 0.737 | 3 | 2 | 100% |
| 5 | Reinhart, Carmen M. and Rogoff, Kenneth S (2010) Growth in a Time of Debt | 0.644 | 2 | 2 | 100% |
| 6 | Zou, Hui (2006) The Adaptive Lasso and Its Oracle Properties | 0.585 | 3 | 1 | 100% |
| 7 | Chudik, Alexander and Mohaddes, Kamiar and Pesaran, M. Hashem and Ra… (2017) Is There a Debt-Threshold Effect on Output Growth? | 0.511 | 2 | 1 | 100% |
| 8 | Eberhardt, Markus and Presbitero, Andrea F (2015) Public Debt and Growth: Heterogeneity and Non-linearity | 0.511 | 2 | 1 | 100% |
| 9 | Hansen, Bruce E (2017) Regression Kink with an Unknown Threshold | 0.511 | 2 | 1 | 100% |
| 10 | Pescatori, Andrea and Sandri, Damiano and Simon, John (2014) Debt and Growth: Is There a Magic Threshold? | 0.511 | 2 | 1 | 100% |
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