The changepoint estimation problem of a common change in panel means for a very general panel data structure is considered. The observations within each panel are allowed to be generally dependent and non-stationary. Simultaneously, the panels are weakly dependent and non-stationary among each other. The follow up period can be extremely short and the changepoint magnitudes may differ across the panels accounting also for a specific situation that some magnitudes are equal to zero (thus, no jump is present in such case). We introduce a novel changepoint estimator without a boundary issue meaning that it can estimate the change close to the extremities of the studied time interval. The consistency of the nuisance-parameter-free estimator is proved regardless of the presence/absence of the change in panel means under relatively simple conditions. Empirical properties of the proposed estimator are investigated through a simulation study.

中文翻译：

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依赖和非平稳面板的变化点估计

考虑了非常通用的面板数据结构的面板均值中常见变化的变化点估计问题。允许每个面板内的观察通常是相关的和非平稳的。同时，面板之间存在弱相关性和非平稳性。后续时间可能非常短，并且面板之间的变化点幅度可能不同，这也考虑到某些幅度等于零的特定情况（因此，在这种情况下不存在跳跃）。我们引入了一种没有边界问题的新型变化点估计器，这意味着它可以估计接近研究时间间隔末端的变化。在相对简单的条件下，无论面板均值是否存在变化，都证明了无扰动参数估计量的一致性。