Ratio Tests of a Change in Panel Means with Small Fixed Panel Size

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985807%3A_____%2F17%3A00476538" target="_blank" >RIV/67985807:_____/17:00476538 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11320/17:10366004
Result on the web
<a href="http://dx.doi.org/10.1007/978-3-319-55789-2_16" target="_blank" >http://dx.doi.org/10.1007/978-3-319-55789-2_16</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/978-3-319-55789-2_16" target="_blank" >10.1007/978-3-319-55789-2_16</a>

Result language
angličtina
Original language name
Ratio Tests of a Change in Panel Means 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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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

Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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