Changepoint Estimation for Dependent and Non-Stationary Panels
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985807%3A_____%2F20%3A00524854" target="_blank" >RIV/67985807:_____/20:00524854 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11320/20:10418294
Result on the web
<a href="http://hdl.handle.net/11104/0309102" target="_blank" >http://hdl.handle.net/11104/0309102</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.21136/AM.2020.0296-19" target="_blank" >10.21136/AM.2020.0296-19</a>
Alternative languages
Result language
angličtina
Original language name
Changepoint Estimation for Dependent and Non-Stationary Panels
Original language description
The changepoint estimation problem of a common change in panel means for a very general panel data structure is considered. The observations within each panel are allowed to be generally dependent and non-stationary. Simultaneously, the panels are weakly dependent and non-stationary among each other. The follow up period can be extremely short and the changepoint magnitudes may differ across the panels accounting also for a specific situation that some magnitudes are equal to zero (thus, no jump is present in such case). We introduce a novel changepoint estimator without a boundary issue meaning that it can estimate the change close to the extremities of the studied time interval. The consistency of the nuisance-parameter-free estimator is proved regardless of the presence/absence of the change in panel means under relatively simple conditions. Empirical properties of the proposed estimator are investigated through a simulation study.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
10103 - Statistics and probability
Result continuities
Project
<a href="/en/project/GJ18-01781Y" target="_blank" >GJ18-01781Y: Dynamic and granular loss reserving with copulae - DaGLoRCo</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2020
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Applications of Mathematics
ISSN
0862-7940
e-ISSN
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Volume of the periodical
65
Issue of the periodical within the volume
3
Country of publishing house
CZ - CZECH REPUBLIC
Number of pages
12
Pages from-to
299-310
UT code for WoS article
000544260100007
EID of the result in the Scopus database
2-s2.0-85085326730