Testing structural changes in panel data with small fixed panel size and bootstrap

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F15%3A10313105" target="_blank" >RIV/00216208:11320/15:10313105 - isvavai.cz</a>

Výsledek na webu

<a href="http://dx.doi.org/10.1007/s00184-014-0522-8" target="_blank" >http://dx.doi.org/10.1007/s00184-014-0522-8</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1007/s00184-014-0522-8" target="_blank" >10.1007/s00184-014-0522-8</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Testing structural changes in panel data with small fixed panel size and bootstrap

Popis výsledku v původním jazyce

Panel data of our interest consist of a moderate or relatively large number of panels, while the panels contain a small number of observations. This paper establishes testing procedures to detect a possible common change in means of the panels. To this end, we consider a ratio type test statistic and derive its asymptotic distribution under the no change null hypothesis. Moreover, we prove the consistency of the test under the alternative. The main advantage of such an approach is that the variance of the observations neither has to be known nor estimated. On the other hand, the correlation structure is required to be calculated. To overcome this issue, a bootstrap technique is proposed in the way of a completely data driven approach without any tuningparameters. The validity of the bootstrap algorithm is shown. As a by-product of the developed tests, we introduce a common break point estimate and prove its consistency. The results are illustrated through a simulation study. An applic

Název v anglickém jazyce

Testing structural changes in panel data with small fixed panel size and bootstrap

Popis výsledku anglicky

Panel data of our interest consist of a moderate or relatively large number of panels, while the panels contain a small number of observations. This paper establishes testing procedures to detect a possible common change in means of the panels. To this end, we consider a ratio type test statistic and derive its asymptotic distribution under the no change null hypothesis. Moreover, we prove the consistency of the test under the alternative. The main advantage of such an approach is that the variance of the observations neither has to be known nor estimated. On the other hand, the correlation structure is required to be calculated. To overcome this issue, a bootstrap technique is proposed in the way of a completely data driven approach without any tuningparameters. The validity of the bootstrap algorithm is shown. As a by-product of the developed tests, we introduce a common break point estimate and prove its consistency. The results are illustrated through a simulation study. An applic

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

BA - Obecná matematika

OECD FORD obor

—

Projekt

<a href="/cs/project/GP13-12994P" target="_blank" >GP13-12994P: Stochastické rezervování škod a statistická inference v pojišťovnictví</a><br>

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2015

Kód důvěrnosti údajů

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

Název periodika

Metrika

ISSN

0026-1335

e-ISSN

—

Svazek periodika

78

Číslo periodika v rámci svazku

6

Stát vydavatele periodika

DE - Spolková republika Německo

Počet stran výsledku

25

Strana od-do

665-689

Kód UT WoS článku

000358058000004

EID výsledku v databázi Scopus

2-s2.0-84946037121