In this paper, we propose an estimation and testing framework for parameter instability in cointegrated panel regressions with common and idiosyncratic trends. We develop tests for structural change for the slope parameters under the null hypothesis of no structural break against the alternative...

Using machine learning methods in a difference-in-differences setting, we quantify the population of informal workers generated by an irregular migration shock. We exploit the exogenous variation from the Arab Spring wave on southern Italian coasts, and a rich data on Italian vineyards. We...

We study inference for threshold regression in the context of a large panel factor model with common stochastic trends. We develop a Least Squares estimator for the threshold level, deriving almost sure rates of convergence and proposing a novel, testing based, way of constructing confidence...