估计员
面板数据
普通最小二乘法
一致性(知识库)
计量经济学
估计
数学
统计
鉴定(生物学)
应用数学
期限(时间)
经济
离散数学
物理
生物
量子力学
植物
管理
作者
Badi H. Baltagi,Chihwa Kao,Long Liu
出处
期刊:Econometric Reviews
日期:2015-11-05
卷期号:36 (1-3): 85-102
被引量:35
标识
DOI:10.1080/07474938.2015.1114262
摘要
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.
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