Batalgi article on change points in panel models published in Econometric Reviews
Feb 29, 2016
Estimation and Identification of Change Points in Panel Models with Nonstationary or Stationary Regressors and Error Term
Badi H. Baltagi, Chihwa Kao & Long Liu
Econometric Reviews, February 2016
Badi H. Baltagi
This article studies the estimation of change point in panel models. The authors 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. They prove consistency and derive the asymptotic distributions of the Ordinary Least Squares (OLS) and First Difference (FD) estimators. They find that the FD estimator is robust for all cases considered.