EconPapers    
Economics at your fingertips  
 

Estimation and Identification of Change Points in Panel Models with Nonstationary or Stationary Regressors and Error Term

Badi Baltagi (), Chihwa Kao () and Long Liu
Additional contact information
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

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.

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
Date: 2015-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
https://www.maxwell.syr.edu/uploadedFiles/cpr/publ ... ng_papers2/wp178.pdf (application/pdf)

Related works:
Journal Article: Estimation and identification of change points in panel models with nonstationary or stationary regressors and error term (2017) Downloads
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:max:cprwps:178

Access Statistics for this paper

More papers in Center for Policy Research Working Papers from Center for Policy Research, Maxwell School, Syracuse University 426 Eggers Hall, Syracuse, New York USA 13244-1020. Contact information at EDIRC.
Bibliographic data for series maintained by Margaret Austin ().

 
Page updated 2019-07-30
Handle: RePEc:max:cprwps:178