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.
|Original language||English (US)|
|Number of pages||18|
|State||Published - Mar 16 2017|
- Change point
- panel data
ASJC Scopus subject areas
- Economics and Econometrics