Change Point Detection in Panel Data with Small Fixed Panel Size
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985807%3A_____%2F16%3A00466379" target="_blank" >RIV/67985807:_____/16:00466379 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11320/16:10329865
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Change Point Detection in Panel Data with Small Fixed Panel Size
Original language description
The aim of this paper is to develop stochastic methods for detection whether a 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. To this end, we consider several competing ratio type test statistics and derive their asymptotic distributions under the no change null hypothesis. Moreover, we prove the consistency of the tests under the alternative. The main advantage of the proposed approaches is that the variance of the observations neither has to be known nor estimated. The results are illustrated through a simulation study. An application of the procedure to actuarial data is presented.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BA - General mathematics
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Proceedings of the International Work-Conference on Time Series ITISE 2016
ISBN
978-84-16478-93-4
ISSN
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e-ISSN
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Number of pages
12
Pages from-to
194-205
Publisher name
University of Granada
Place of publication
Granada
Event location
Granada
Event date
Jun 27, 2016
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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