Estimation and Identication of Change Points in Panel Models with Nonstationary or Stationary Regressors and Error Term
2013/12/24
研討會日期 : 2013-12-24
時間 : 14:30
主講人 : Professor Chihwa Kao
地點 : Conference Room B110
演講者簡介 : Professor Kao received his Ph.D. in Economics from SUNY at Stony Brook in 1983. He is currently a Professor of Economics/ Senior Research Associate at Syracuse University. His research fields are Econometrics, Continuous Time Stochastic Models and Financial Markets.
演講摘要 : This paper studies the estimation of change point in panel models. We extend Bai (2010) and Feng, Kao and Lazarov´a (2009) 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.
