"This book aims to fill the gap between panel data econometrics textbooks, and the latest development on "big data", especially large-dimensional panel data econometrics. It introduces important research questions in large panels, including testing for cross-sectional dependence, estimation of...

This paper considers multiple changes in the factor loadings of a high dimensional factor model occurring at dates that are unknown but common to all subjects. Since the factors are unobservable, the problem is converted to estimating and testing structural changes in the second moments of the...

Structural changes often occur in economics and finance due to changes in preferences, technologies, institutional reforms, policies, crises and other factors. It is important to distinguish whether a structural change is abrupt or evolutionary, because the implications on econometric modelling...

In this paper, we introduce adjusted-range based Kolmogorov-Smirnov (KS) type statisticsto test for structural breaks in the mean of a process and also in a more general setting. We propose a normalization based on the adjusted-range of a partial sum, which is stochastically proportional to the...