Estimation and Identification of Change Points in Panel Models with Nonstationary or Stationary Regressors and Error Term
Badi Baltagi (),
Chihwa Kao () and
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Long Liu: Department of Economics, College of Business, University of Texas at San Antonio
No 178, Center for Policy Research Working Papers from Center for Policy Research, Maxwell School, Syracuse University
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.
Keywords: Panel Data; Change Point; Consistency; Nonstationarity (search for similar items in EconPapers)
JEL-codes: C12 C13 C22 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
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Journal Article: Estimation and identification of change points in panel models with nonstationary or stationary regressors and error term (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:max:cprwps:178
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