| Title:
|
Changepoint estimation for dependent and non-stationary panels (English) |
| Author:
|
Pešta, Michal |
| Author:
|
Peštová, Barbora |
| Author:
|
Maciak, Matúš |
| Language:
|
English |
| Journal:
|
Applications of Mathematics |
| ISSN:
|
0862-7940 (print) |
| ISSN:
|
1572-9109 (online) |
| Volume:
|
65 |
| Issue:
|
3 |
| Year:
|
2020 |
| Pages:
|
299-310 |
| Summary lang:
|
English |
| . |
| Category:
|
math |
| . |
| Summary:
|
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. (English) |
| Keyword:
|
panel data |
| Keyword:
|
changepoint |
| Keyword:
|
change in means |
| Keyword:
|
estimation |
| Keyword:
|
dependence |
| Keyword:
|
non-stationarity |
| Keyword:
|
call options |
| Keyword:
|
non-life insurance |
| MSC:
|
62F10 |
| MSC:
|
62H12 |
| MSC:
|
62P05 |
| idZBL:
|
07217112 |
| idMR:
|
MR4114254 |
| DOI:
|
10.21136/AM.2020.0296-19 |
| . |
| Date available:
|
2020-06-10T13:11:19Z |
| Last updated:
|
2022-07-04 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/148145 |
| . |
| Reference:
|
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| Reference:
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| Reference:
|
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| Reference:
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| Reference:
|
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| Reference:
|
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| Reference:
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| Reference:
|
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| Reference:
|
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| Reference:
|
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| Reference:
|
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| Reference:
|
[13] Peštová, B., Pešta, M.: Change point estimation in panel data without boundary issue.Risks 5 (2017), Article ID 7, 22 pages. 10.3390/risks5010007 |
| . |
