Change Point Detection in Panel Data with Small Fixed Panel Size

0466379 - ÚI 2017 RIV ES eng C - Konferenční příspěvek (zahraniční konf.)
Peštová, Barbora - Pešta, M.
Change Point Detection in Panel Data with Small Fixed Panel Size.
Proceedings of the International Work-Conference on Time Series ITISE 2016. Granada: University of Granada, 2016 - (Valenzuela, O.; Rojas, F.; Ruiz, G.; Pomares, H.; Rojas, I.), s. 194-205. ISBN 978-84-16478-93-4.
[ITISE 2016. International Work-Conference on Time Series. Granada (ES), 27.06.2016-29.06.2016]
Grant CEP: GA ČR(CZ) GBP402/12/G097
Institucionální podpora: RVO:67985807
Klíčová slova: change point * panel data * change in mean * hypothesis testing * structural change * fixed panel size * short panels * ratio type statistics
Kód oboru RIV: BA - Obecná matematika

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.
Trvalý link: http://hdl.handle.net/11104/0265825