Document Type

Working Paper

Date

Spring 1-2015

Keywords

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

Language

English

Disciplines

Econometrics | Economics | Longitudinal Data Analysis and Time Series

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.

ISSN

1525-3066

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 License

Creative Commons Attribution 3.0 License
This work is licensed under a Creative Commons Attribution 3.0 License.

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