ABSTRACT
This article studies the estimation of change point in panel models. We extend Bai (Citation2010) and Feng et al. (Citation2009) 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.
Acknowledgements
We would like to thank the Associate Editor and three referees for their helpful comments and suggestions.
Notes
1In general, for any xit with nonzero mean θ, the model in Eq. (1) can be rewritten as
2We thank a referee pointing this out.