ASYMPTOTIC PROPERTIES OF THE CUSUM ESTIMATOR FOR THE TIME OF CHANGE IN LINEAR PANEL DATA MODELS
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F17%3A10365025" target="_blank" >RIV/00216208:11320/17:10365025 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1017/S0266466615000468" target="_blank" >http://dx.doi.org/10.1017/S0266466615000468</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1017/S0266466615000468" target="_blank" >10.1017/S0266466615000468</a>
Alternative languages
Result language
angličtina
Original language name
ASYMPTOTIC PROPERTIES OF THE CUSUM ESTIMATOR FOR THE TIME OF CHANGE IN LINEAR PANEL DATA MODELS
Original language description
We consider the problem of estimating the common time of a change in the mean parameters of panel data when dependence is allowed between the cross-sectional units in the form of a common factor. A CUSUM type estimator is proposed, and we establish first and second order asymptotics that can be used to derive consistent confidence intervals for the time of change. Our results improve upon existing theory in two primary directions. Firstly, the conditions we impose on the model errors only pertain to the order of their long run moments, and hence our results hold for nearly all stationary time series models of interest, including nonlinear time series like the ARCH and GARCH processes. Secondly, we study how the asymptotic distribution and norming sequences of the estimator depend on the magnitude of the changes in each cross-section and the common factor loadings. The performance of our results in finite samples is demonstrated with a Monte Carlo simulation study, and we consider applications to two real data sets: the exchange rates of 23 currencies with respect to the US dollar, and the GDP per capita in 113 countries.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
10103 - Statistics and probability
Result continuities
Project
<a href="/en/project/GA15-09663S" target="_blank" >GA15-09663S: Modeling dynamic financial processes with structural breaks</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Econometric Theory
ISSN
0266-4666
e-ISSN
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Volume of the periodical
33
Issue of the periodical within the volume
2
Country of publishing house
US - UNITED STATES
Number of pages
47
Pages from-to
366-412
UT code for WoS article
000394581700004
EID of the result in the Scopus database
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