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

Badi H. Baltagi, Chihwa Kao, Long Liu

Research output: Contribution to journalArticle

9 Scopus citations

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.

Original languageEnglish (US)
Pages (from-to)85-102
Number of pages18
JournalEconometric Reviews
Volume36
Issue number1-3
DOIs
StatePublished - Mar 16 2017

Keywords

  • Change point
  • consistency
  • nonstationarity
  • panel data

ASJC Scopus subject areas

  • Economics and Econometrics

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