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Since no data variation is removed before change point estimation, our method has better small\u2010sample properties compared to first\u2010differencing methods. We also propose two tests that identify whether the change points found by our method originate in the slope parameters or in the covariance of the regressors with individual effects. We illustrate our method via modeling the environmental Kuznets curve and the US house price expectations after the financial crisis.<\/jats:p>","DOI":"10.1002\/jae.2769","type":"journal-article","created":{"date-parts":[[2020,4,27]],"date-time":"2020-04-27T01:33:09Z","timestamp":1587951189000},"page":"712-727","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":18,"title":["Change point estimation in panel data with time\u2010varying individual effects"],"prefix":"10.1002","volume":"35","author":[{"given":"Otilia","family":"Boldea","sequence":"first","affiliation":[{"name":"Department of Econometrics and Operations Research Tilburg University  Tilburg The Netherlands"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Bettina","family":"Drepper","sequence":"additional","affiliation":[{"name":"Auxmoney Gmbh  D\u00fcsseldorf Germany"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Zhuojiong","family":"Gan","sequence":"additional","affiliation":[{"name":"School of Statistics Southwestern University of Finance and Economics  Chengdu China"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2020,8,6]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.enpol.2009.03.048"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1093\/restud\/rdy038"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.enpol.2012.02.042"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9892.2012.00819.x"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA6135"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2009.10.020"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1214\/13-AOS1183"},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/2998540"},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jinteco.2006.02.005"},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2015.03.048"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.1080\/07474938.2015.1114262"},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.1080\/00401706.2018.1438926"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.103.3.284"},{"key":"e_1_2_9_15_1","unstructured":"Boldea O. 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