Change Point Estimation in Panel Data without Boundary Issue

Kód výsledku v 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>

Nalezeny alternativní kódy

RIV/00216208:11320/17:10365992

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Change Point Estimation in Panel Data without Boundary Issue

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Change Point Estimation in Panel Data without Boundary Issue

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

10101 - Pure mathematics

Projekt

<a href="/cs/project/GJ15-04774Y" target="_blank" >GJ15-04774Y: Modelování závislosti veličin pomocí kopulí za přítomnosti kovariát</a><br>

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2017

Kód důvěrnosti údajů

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

Název periodika

Risks

ISSN

2227-9091

e-ISSN

—

Svazek periodika

5

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

CH - Švýcarská konfederace

Počet stran výsledku

22

Strana od-do

—

Kód UT WoS článku

000398683600006

EID výsledku v databázi Scopus

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