Change Point in Panel Data with Small Fixed Panel Size: Ratio and Non-ratio Test Statistics
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F18%3A10383237" target="_blank" >RIV/00216208:11320/18:10383237 - isvavai.cz</a>
Alternative codes found
RIV/67985807:_____/18:00490843
Result on the web
<a href="https://link.springer.com/chapter/10.1007/978-3-319-76035-3_18" target="_blank" >https://link.springer.com/chapter/10.1007/978-3-319-76035-3_18</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/978-3-319-76035-3_18" target="_blank" >10.1007/978-3-319-76035-3_18</a>
Alternative languages
Result language
angličtina
Original language name
Change Point in Panel Data with Small Fixed Panel Size: Ratio and Non-ratio Test Statistics
Original language description
The main goal is to develop and, consequently, compare stochastic methods for detecting whether a structural change in panel data occurred at some unknown time or not. Panel data of our interest consist of a moderate or relatively large number of panels, while the panels contain a small number of observations. Testing procedures to detect a possible common change in means of the panels are established. Ratio and non-ratio type test statistics are considered. Their asymptotic distributions under the no change null hypothesis are derived. Moreover, we prove the consistency of the tests under the alternative. The advantage of the ratio statistics compared to the non-ratio ones is that the variance of the observations neither has to be known nor estimated. A simulation study reveals that the proposed ratio statistic outperforms the non-ratio one by keeping the significance level under the null, mainly when stronger dependence within the panel is present. However, the non-ratio statistic incorrectly rejects the null in the simulations more often than it should, which yields higher power compared to the ratio statistic.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
—
OECD FORD branch
10103 - Statistics and probability
Result continuities
Project
<a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2018
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Statistics and Simulation
ISBN
978-3-319-76034-6
ISSN
2194-1009
e-ISSN
—
Number of pages
13
Pages from-to
259-271
Publisher name
Springer
Place of publication
Cham
Event location
Vienna, Austria
Event date
Sep 21, 2015
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000460403300018