Estimation and identification of change points in panel models with nonstationary or stationary regressors and error term. (English) Zbl 1524.62405
Summary: This article studies the estimation of change point in panel models. We extend [J. Bai, J. Econom. 157, No. 1, 78–92 (2010; Zbl 1431.62353)] and [Q. Feng, C. Kao and S. Lazarová, “Estimation and identification of change points in panel models”, Working Paper, Syracuse University (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.
MSC:
| 62M10 | Time series, auto-correlation, regression, etc. in statistics (GARCH) |
| 62F12 | Asymptotic properties of parametric estimators |
| 62E20 | Asymptotic distribution theory in statistics |
| 62P20 | Applications of statistics to economics |
Citations:
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