Change-point detection in panel data

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F12%3A10124962" target="_blank" >RIV/00216208:11320/12:10124962 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1111/j.1467-9892.2012.00796.x" target="_blank" >http://dx.doi.org/10.1111/j.1467-9892.2012.00796.x</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1111/j.1467-9892.2012.00796.x" target="_blank" >10.1111/j.1467-9892.2012.00796.x</a>

Result language
angličtina
Original language name
Change-point detection in panel data
Original language description
We consider N panels and each panel is based on T observations. We are interested to test if the means of the panels remain the same during the observation period against the alternative that the means change at an unknown time. We provide tests which are derived from a likelihood argument and they are based on the adaptation of the CUSUM method to panel data. Asymptotic distributions are derived under the no change null hypothesis and the consistency of the tests are proven under the alternative. The asymptotic results are shown to work in case of small and moderate sample sizes via Monte Carlo simulations.
Czech name
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Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
BA - General mathematics
OECD FORD branch
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Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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