Authors
Seong Yeon Chang
Publication date
2021/9/1
Journal
Economics Letters
Volume
206
Pages
109971
Publisher
North-Holland
Description
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∈(− 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.