Testing structural changes in panel data with small fixed panel size and bootstrap

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F15%3A10313105" target="_blank" >RIV/00216208:11320/15:10313105 - isvavai.cz</a>

Result on the web

<a href="http://dx.doi.org/10.1007/s00184-014-0522-8" target="_blank" >http://dx.doi.org/10.1007/s00184-014-0522-8</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1007/s00184-014-0522-8" target="_blank" >10.1007/s00184-014-0522-8</a>

Result language

angličtina

Original language name

Testing structural changes in panel data with small fixed panel size and bootstrap

Original language description

Panel data of our interest consist of a moderate or relatively large number of panels, while the panels contain a small number of observations. This paper establishes testing procedures to detect a possible common change in means of the panels. To this end, we consider a ratio type test statistic and derive its asymptotic distribution under the no change null hypothesis. Moreover, we prove the consistency of the test under the alternative. The main advantage of such an approach is that the variance of the observations neither has to be known nor estimated. On the other hand, the correlation structure is required to be calculated. To overcome this issue, a bootstrap technique is proposed in the way of a completely data driven approach without any tuningparameters. The validity of the bootstrap algorithm is shown. As a by-product of the developed tests, we introduce a common break point estimate and prove its consistency. The results are illustrated through a simulation study. An applic

Czech name

—

Czech description

—

Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

BA - General mathematics

OECD FORD branch

—

Project

<a href="/en/project/GP13-12994P" target="_blank" >GP13-12994P: Stochastic claims reserving and statistical inference in insurance</a><br>

Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2015

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Metrika

ISSN

0026-1335

e-ISSN

—

Volume of the periodical

78

Issue of the periodical within the volume

6

Country of publishing house

DE - GERMANY

Number of pages

25

Pages from-to

665-689

UT code for WoS article

000358058000004

EID of the result in the Scopus database

2-s2.0-84946037121