Change Point Estimation in Panel Data without Boundary Issue

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985807%3A_____%2F17%3A00471353" target="_blank" >RIV/67985807:_____/17:00471353 - isvavai.cz</a>

Alternative codes found

RIV/00216208:11320/17:10365992

Result on the web

<a href="http://dx.doi.org/10.3390/risks5010007" target="_blank" >http://dx.doi.org/10.3390/risks5010007</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.3390/risks5010007" target="_blank" >10.3390/risks5010007</a>

Result language

angličtina

Original language name

Change Point Estimation in Panel Data without Boundary Issue

Original language description

Panel data of our interest consist of a moderate number of panels, while the panels contain a small number of observations. An estimator of common breaks in panel means without a boundary issue for this kind of scenario is proposed. In particular, the novel estimator is able to detect a common break point even when the change happens immediately after the first time point or just before the last observation period. Another advantage of the elaborated change point estimator is that it results in the last observation in situations with no structural breaks. The consistency of the change point estimator in panel data is established. The results are illustrated through a simulation study. As a by-product of the developed estimation technique, a theoretical utilization for correlation structure estimation, hypothesis testing and bootstrapping in panel data is demonstrated. A practical application to non-life insurance is presented, as well.

Czech name

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Czech description

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Type

J_imp - Article in a specialist periodical, which is included in the Web of Science database

CEP classification

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OECD FORD branch

10101 - Pure mathematics

Project

<a href="/en/project/GJ15-04774Y" target="_blank" >GJ15-04774Y: Using copulas for modelling dependency structure of variables in the presence of covariates</a><br>

Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2017

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Risks

ISSN

2227-9091

e-ISSN

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Volume of the periodical

5

Issue of the periodical within the volume

1

Country of publishing house

CH - SWITZERLAND

Number of pages

22

Pages from-to

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UT code for WoS article

000398683600006

EID of the result in the Scopus database

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