Estimation of a level shift in panel data with fractionally integrated errors

초록

This article deals with the estimation of a common break point in panel data. We consider the general case of fractionally integrated errors with memory parameter d is an element of (-0.5, 0.5) and establish the consistency, convergence rate, and limiting distribution of the estimated common break point. The ordinary least squares method is used for estimating the break point in mean. We find that the convergence rate is invariant to the order of fractional integration. Simulation experiments are provided to illustrate some of the theoretical results. (C) 2021 Elsevier B.V. All rights reserved.

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