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Change Point in Panel Data with Small Fixed Panel Size: Ratio and Non-ratio Test Statistics
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SYSNO ASEP 0490843 Druh ASEP C - Konferenční příspěvek (mezinárodní konf.) Zařazení RIV D - Článek ve sborníku Název Change Point in Panel Data with Small Fixed Panel Size: Ratio and Non-ratio Test Statistics Tvůrce(i) Peštová, Barbora (UIVT-O) RID, SAI
Pešta, M. (CZ)Zdroj.dok. Statistics and Simulation. - Cham : Springer, 2018 / Pilz J. ; Rasch D. ; Melas V. B. ; Moder K. - ISSN 2194-1009 - ISBN 978-3-319-76034-6 Rozsah stran s. 259-271 Poč.str. 13 s. Forma vydání Tištěná - P Akce IWS 2015. International Workshop on Simulation /8./ Datum konání 21.09.2015 - 25.09.2015 Místo konání Vienna Země AT - Rakousko Typ akce WRD Jazyk dok. eng - angličtina Země vyd. CH - Švýcarsko Klíč. slova Change point ; Panel data ; Change in mean ; Hypothesis testing ; Structural change ; Ratio type statistics Vědní obor RIV BB - Aplikovaná statistika, operační výzkum Obor OECD Statistics and probability CEP GBP402/12/G097 GA ČR - Grantová agentura ČR Institucionální podpora UIVT-O - RVO:67985807 UT WOS 000460403300018 EID SCOPUS 85047941283 DOI 10.1007/978-3-319-76035-3_18 Anotace The main goal is to develop and, consequently, compare stochastic methods for detecting whether a structural 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. Ratio and non-ratio type test statistics are considered. Their asymptotic distributions under the no change null hypothesis are derived. Moreover, we prove the consistency of the tests under the alternative. The advantage of the ratio statistics compared to the non-ratio ones is that the variance of the observations neither has to be known nor estimated. A simulation study reveals that the proposed ratio statistic outperforms the non-ratio one by keeping the significance level under the null, mainly when stronger dependence within the panel is present. However, the non-ratio statistic incorrectly rejects the null in the simulations more often than it should, which yields higher power compared to the ratio statistic. Pracoviště Ústav informatiky Kontakt Tereza Šírová, sirova@cs.cas.cz, Tel.: 266 053 800 Rok sběru 2019
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