Estimation and identification of change points in panel models with nonstationary or stationary regressors and error term
研究了面板模型中结构变化点的估计问题，将现有方法扩展到回归变量和误差项可以是平稳或非平稳的情形，证明了OLS和FD估计量的一致性并推导了渐近分布，发现FD估计量在所有情形下都稳健。
This article studies the estimation of change point in panel models. We extend Bai (2010 Bai, J. (2010). Common breaks in means and variances for panel data. Journal of Econometrics 157:78–92.[Crossref], [Web of Science ®] , [Google Scholar]) and Feng et al. (2009 Feng, Q., Kao, C., Lazarová, S. (2009). Estimation and Identification of Change Points in Panel Models, Working paper, Syracuse University. [Google Scholar]) 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.