Estimation and identification of change points in panel models with nonstationary or stationary regressors and error term

Badi Baltagi, Chihwa Kao and Long Liu

Econometric Reviews, 2017, vol. 36, issue 1-3, 85-102

Abstract: This article studies the estimation of change point in panel models. We extend Bai (2010) and Feng et al. (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.

Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (30)

Downloads: (external link)
http://hdl.handle.net/10.1080/07474938.2015.1114262 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Estimation and Identification of Change Points in Panel Models with Nonstationary or Stationary Regressors and Error Term (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:emetrv:v:36:y:2017:i:1-3:p:85-102

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/LECR20

DOI: 10.1080/07474938.2015.1114262

Access Statistics for this article

Econometric Reviews is currently edited by Dr. Essie Maasoumi

More articles in Econometric Reviews from Taylor & Francis Journals
Bibliographic data for series maintained by ().