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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

  • Czech description

Classification

  • Type

    J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database

  • CEP classification

  • 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

  • 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