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

Kód výsledku v 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>

Nalezeny alternativní kódy

RIV/00216208:11320/17:10366004

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

10101 - Pure mathematics

Projekt

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

Advances in Time Series Analysis and Forecasting

ISBN

978-3-319-55788-5

ISSN

1431-1968

e-ISSN

—

Počet stran výsledku

18

Strana od-do

223-240

Název nakladatele

Springer

Místo vydání

Cham

Místo konání akce

Granada

Datum konání akce

27. 6. 2016

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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