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


Spring 1-2015


Panel Data, Change Point, Consistency, Nonstationarity, Stationary or Nonstationary regressors




Working Papers Series


Econometrics | Economics | Longitudinal Data Analysis and Time Series



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.

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Creative Commons Attribution 3.0 License
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