Description/Abstract
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.
Document Type
Working Paper
Date
Spring 1-2015
Keywords
Panel Data, Change Point, Consistency, Nonstationarity, Stationary or Nonstationary regressors
Language
English
Series
Working Papers Series
Disciplines
Econometrics | Economics | Longitudinal Data Analysis and Time Series
ISSN
1525-3066
Recommended Citation
Baltagi, Badi H.; Kao, Chihwa; and Liu, Long, "Estimation and Identification of Change Points in Panel Models with Nonstationary or Stationary Regressors and Error Term" (2015). Center for Policy Research. 214.
https://surface.syr.edu/cpr/214
Accessible PDF version
Source
Local input
Creative Commons License
This work is licensed under a Creative Commons Attribution 3.0 License.
Additional Information
Working paper no. 178
The authors dedicate this paper in honor of Peter Schmidt's many contributions to econometrics and in particular non-stationary time series analysis like Amsler, Schmidt and Vogelsang (2009) and panel data econometrics including his extensive work on dynamic panel data like Ahn and Schmidt (1995). They would like to thank the Associate Editor and three referees for their helpful comments and suggestions.