Changepoint Estimation for Dependent and Non-Stationary Panels

Kód výsledku v 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>

Nalezeny alternativní kódy

RIV/00216208:11320/20:10418294

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Changepoint Estimation for Dependent and Non-Stationary Panels

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Changepoint Estimation for Dependent and Non-Stationary Panels

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

10103 - Statistics and probability

Projekt

<a href="/cs/project/GJ18-01781Y" target="_blank" >GJ18-01781Y: Dynamické a granulární rezervování škod s využitím kopulí - DaGLoRCo</a><br>

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2020

Kód důvěrnosti údajů

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

Název periodika

Applications of Mathematics

ISSN

0862-7940

e-ISSN

—

Svazek periodika

65

Číslo periodika v rámci svazku

3

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

12

Strana od-do

299-310

Kód UT WoS článku

000544260100007

EID výsledku v databázi Scopus

2-s2.0-85085326730