Center for Policy Research
Working Paper
Estimation and Identification of Change Points in Panel Models with Nonstationary or Stationary Regressors and Error Term
Badi H. Baltagi, Chihwa Kao & Long Liu.
C.P.R. Working Paper No. 178
December 2014
Abstract
This paper studies the estimation of change point in panel models. The authors 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. They prove consistency and derive the asymptotic distributions of the Ordinary Least Squares (OLS) and First Difference (FD) estimators. The authors find that the FD estimator is robust for all cases considered.