An interaction in a fixed effects (FE) regression is usually specified by demeaning the product term. However, this strategy does not yield a genuine within estimator. Instead, an estimator is produced that reflects unit-level differences of interacted variables whose moderators vary within...

In this paper, we propose a new approach to model structural change in cointegrating regressions using penalized regression techniques. First, we consider a setting with known breakpoint candidates and show that a modified adaptive lasso estimator can consistently estimate structural breaks in...