Common breaks in means for cross-correlated fixed-T panel data

This note considers a panel data model in which the variable of interest has undergone a common structural break in the mean. The object of interest is the unknown breakpoint. The challenge is to device an estimator that is consistent when the data are cross-correlated and the number of time periods T is fixed and cannot be increased without bound. The proposed solution involves taking an already existing estimator initially proposed for cross-section uncorrelated panels and applying it to defactored data. Consistency is established as the number of cross-section units N grows large, and is verified in small samples using Monte Carlo simulation.