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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

  • Czech description

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