Structural breaks in panel data: large number of panels and short length time series

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985998%3A_____%2F19%3A00507530" target="_blank" >RIV/67985998:_____/19:00507530 - isvavai.cz</a>

Nalezeny alternativní kódy

RIV/00216208:11320/19:10403296

Výsledek na webu

<a href="https://oadoi.org/10.1080/07474938.2018.1454378" target="_blank" >https://oadoi.org/10.1080/07474938.2018.1454378</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1080/07474938.2018.1454378" target="_blank" >10.1080/07474938.2018.1454378</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Structural breaks in panel data: large number of panels and short length time series

Popis výsledku v původním jazyce

The detection of (structural) breaks or the so called change point problem has drawn increasing attention from the theoretical, applied economic and financial fields. Much of the existing research concentrates on the detection of change points and asymptotic properties of their estimators in panels when N, the number of panels, as well as T, the number of observations in each panel are large. In this paper we pursue a different approach, i.e., we consider the asymptotic properties when N→∞ while keeping T fixed. This situation is typically related to large (firm-level) data containing financial information about an immense number of firms/stocks across a limited number of years/quarters/months. We propose a general approach for testing for break(s) in this setup. In particular, we obtain the asymptotic behavior of test statistics. We also propose a wild bootstrap procedure that could be used to generate the critical values of the test statistics. The theoretical approach is supplemented by numerous simulations and by an empirical illustration. We demonstrate that the testing procedure works well in the framework of the four factors CAPM model. In particular, we estimate the breaks in the monthly returns of US mutual funds during the period January 2006 to February 2010 which covers the subprime crises.

Název v anglickém jazyce

Structural breaks in panel data: large number of panels and short length time series

Popis výsledku anglicky

The detection of (structural) breaks or the so called change point problem has drawn increasing attention from the theoretical, applied economic and financial fields. Much of the existing research concentrates on the detection of change points and asymptotic properties of their estimators in panels when N, the number of panels, as well as T, the number of observations in each panel are large. In this paper we pursue a different approach, i.e., we consider the asymptotic properties when N→∞ while keeping T fixed. This situation is typically related to large (firm-level) data containing financial information about an immense number of firms/stocks across a limited number of years/quarters/months. We propose a general approach for testing for break(s) in this setup. In particular, we obtain the asymptotic behavior of test statistics. We also propose a wild bootstrap procedure that could be used to generate the critical values of the test statistics. The theoretical approach is supplemented by numerous simulations and by an empirical illustration. We demonstrate that the testing procedure works well in the framework of the four factors CAPM model. In particular, we estimate the breaks in the monthly returns of US mutual funds during the period January 2006 to February 2010 which covers the subprime crises.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

<a href="/cs/project/GA15-09663S" target="_blank" >GA15-09663S: Modelování dynamických finančních procesů se strukturálními změnami</a><br>

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2019

Kód důvěrnosti údajů

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

Název periodika

Econometric Reviews

ISSN

0747-4938

e-ISSN

—

Svazek periodika

38

Číslo periodika v rámci svazku

7

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

28

Strana od-do

828-855

Kód UT WoS článku

000472105300006

EID výsledku v databázi Scopus

2-s2.0-85067299157