摘要翻译：
本文提出了一种利用普通最小二乘(OLS)估计未观测个体效应的面板数据模型中多个变化点的方法。通常，在这种设置下，由于未观察到的个体效应偏差，OLS斜率估计量是不一致的。因此，现有的方法在变化点估计之前通过数据转换（如首次差分）来消除个体影响。我们证明了在合理的假设下，未观察到的个体效应偏差对变化点的一致估计没有影响。我们的仿真表明，由于我们的方法在变化点估计之前不去除数据集中的任何变化，所以它在小样本下比第一差分方法表现得更好。我们将重点放在短面板上，因为它们在实践中经常使用，并允许未观察到的单个效应随时间而变化。我们的方法通过两个应用来说明：环境库兹涅茨曲线和金融危机后的美国房价预期。
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英文标题：
《Change Point Estimation in Panel Data with Time-Varying Individual
  Effects》
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作者：
Otilia Boldea, Bettina Drepper and Zhuojiong Gan
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最新提交年份：
2018
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分类信息：

一级分类：Economics        经济学
二级分类：Econometrics        计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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一级分类：Statistics        统计学
二级分类：Applications        应用程序
分类描述：Biology, Education, Epidemiology, Engineering, Environmental Sciences, Medical, Physical Sciences, Quality Control, Social Sciences
生物学，教育学，流行病学，工程学，环境科学，医学，物理科学，质量控制，社会科学
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英文摘要：
  This paper proposes a method for estimating multiple change points in panel data models with unobserved individual effects via ordinary least-squares (OLS). Typically, in this setting, the OLS slope estimators are inconsistent due to the unobserved individual effects bias. As a consequence, existing methods remove the individual effects before change point estimation through data transformations such as first-differencing. We prove that under reasonable assumptions, the unobserved individual effects bias has no impact on the consistent estimation of change points. Our simulations show that since our method does not remove any variation in the dataset before change point estimation, it performs better in small samples compared to first-differencing methods. We focus on short panels because they are commonly used in practice, and allow for the unobserved individual effects to vary over time. Our method is illustrated via two applications: the environmental Kuznets curve and the U.S. house price expectations after the financial crisis.
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PDF链接：
https://arxiv.org/pdf/1808.03109