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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
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Working Paper: Estimation and Identification of Change Points in Panel Models with Nonstationary or Stationary Regressors and Error Term (2015) Downloads
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Handle: RePEc:taf:emetrv:v:36:y:2017:i:1-3:p:85-102