Panel Data, Change Point, Consistency, Nonstationarity, Stationary or Nonstationary regressors
Econometrics | Economics | Longitudinal Data Analysis and Time Series
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.
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.
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