Structural breaks in dependent, heteroscedastic, and extremal panel data

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F18%3A10384250" target="_blank" >RIV/00216208:11320/18:10384250 - isvavai.cz</a>
Alternative codes found
RIV/67985807:_____/18:00494146
Result on the web
<a href="http://dx.doi.org/10.14736/kyb-2018-6-1106" target="_blank" >http://dx.doi.org/10.14736/kyb-2018-6-1106</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.14736/kyb-2018-6-1106" target="_blank" >10.14736/kyb-2018-6-1106</a>

Result language
angličtina
Original language name
Structural breaks in dependent, heteroscedastic, and extremal panel data
Original language description
New statistical procedures for a change in means problem within a very general panel data structure are proposed. Unlike classical inference tools used for the changepoint problem in the panel data framework, we allow for mutually dependent panels, unequal variances across the panels, and possibly an extremely short follow up period. Two competitive ratio type test statistics are introduced and their asymptotic properties are derived for a large number of available panels. The proposed tests are proved to be consistent and their empirical properties are investigated in an extensive simulation study. The suggested testing approaches are also applied to a real data problem.
Czech name
—
Czech description
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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

Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2018
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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