Change Point in Panel Data with Small Fixed Panel Size: Ratio and Non-ratio Test Statistics

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F18%3A10383237" target="_blank" >RIV/00216208:11320/18:10383237 - isvavai.cz</a>

Nalezeny alternativní kódy

RIV/67985807:_____/18:00490843

Výsledek na webu

<a href="https://link.springer.com/chapter/10.1007/978-3-319-76035-3_18" target="_blank" >https://link.springer.com/chapter/10.1007/978-3-319-76035-3_18</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1007/978-3-319-76035-3_18" target="_blank" >10.1007/978-3-319-76035-3_18</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Change Point in Panel Data with Small Fixed Panel Size: Ratio and Non-ratio Test Statistics

Popis výsledku v původním jazyce

The main goal is to develop and, consequently, compare stochastic methods for detecting whether a structural 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. Ratio and non-ratio type test statistics are considered. Their asymptotic distributions under the no change null hypothesis are derived. Moreover, we prove the consistency of the tests under the alternative. The advantage of the ratio statistics compared to the non-ratio ones is that the variance of the observations neither has to be known nor estimated. A simulation study reveals that the proposed ratio statistic outperforms the non-ratio one by keeping the significance level under the null, mainly when stronger dependence within the panel is present. However, the non-ratio statistic incorrectly rejects the null in the simulations more often than it should, which yields higher power compared to the ratio statistic.

Název v anglickém jazyce

Change Point in Panel Data with Small Fixed Panel Size: Ratio and Non-ratio Test Statistics

Popis výsledku anglicky

The main goal is to develop and, consequently, compare stochastic methods for detecting whether a structural 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. Ratio and non-ratio type test statistics are considered. Their asymptotic distributions under the no change null hypothesis are derived. Moreover, we prove the consistency of the tests under the alternative. The advantage of the ratio statistics compared to the non-ratio ones is that the variance of the observations neither has to be known nor estimated. A simulation study reveals that the proposed ratio statistic outperforms the non-ratio one by keeping the significance level under the null, mainly when stronger dependence within the panel is present. However, the non-ratio statistic incorrectly rejects the null in the simulations more often than it should, which yields higher power compared to the ratio statistic.

Druh

D - Stať ve sborníku

CEP obor

—

OECD FORD obor

10103 - Statistics and probability

Projekt

<a href="/cs/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamické modely v ekonomii</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2018

Kód důvěrnosti údajů

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

Název statě ve sborníku

Statistics and Simulation

ISBN

978-3-319-76034-6

ISSN

2194-1009

e-ISSN

—

Počet stran výsledku

13

Strana od-do

259-271

Název nakladatele

Springer

Místo vydání

Cham

Místo konání akce

Vienna, Austria

Datum konání akce

21. 9. 2015

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000460403300018