Estimation and Identification of Change Points in Panel Models with Nonstationary or Stationary Regressors and Error Term

This paper studies the estimation of change point in panel models. We extend Bai (2010) and Feng, Kao and Lazarová (2009) to the case of stationary or nonstationary regressors and error term, and whether the change point is present or not. We prove consistency and derive the asymptotic distributions of the Ordinary Least Squares (OLS) and First Difference (FD) estimators. We find that the FD estimator is robust for all cases considered.

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Year of publication:	2015-01
Authors:	Baltagi, Badi H. ; Kao, Chihwa ; Liu, Long
Institutions:	Center for Policy Research, Maxwell School
Subject:	Panel Data \| Change Point \| Consistency \| Nonstationarity

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Extent:	application/pdf
Series:	Center for Policy Research Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 178 27 pages
Classification:	C12 - Hypothesis Testing ; C13 - Estimation ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011269093