Počet záznamů: 1
Structural breaks in dependent, heteroscedastic, and extremal panel data
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SYSNO ASEP 0494146 Druh ASEP J - Článek v odborném periodiku Zařazení RIV J - Článek v odborném periodiku Poddruh J Článek ve WOS Název Structural breaks in dependent, heteroscedastic, and extremal panel data Tvůrce(i) Maciak, M. (CZ)
Peštová, Barbora (UIVT-O) RID, SAI
Pešta, M. (CZ)Zdroj.dok. Kybernetika. - : Ústav teorie informace a automatizace AV ČR, v. v. i. - ISSN 0023-5954
Roč. 54, č. 6 (2018), s. 1106-1121Poč.str. 16 s. Jazyk dok. eng - angličtina Země vyd. CZ - Česká republika Klíč. slova panel data ; dependence within panels ; dependence between panels ; changepoint ; short panels ; heteroscedasticity ; ratio type statistics ; consistency Vědní obor RIV BB - Aplikovaná statistika, operační výzkum Obor OECD Statistics and probability Institucionální podpora UIVT-O - RVO:67985807 UT WOS 000457070200002 EID SCOPUS 85064220108 DOI 10.14736/kyb-2018-6-1106 Anotace New statistical procedures for a change in means problem within a very general panel data structure are proposed. Unlike classical inference tools used for the changepoint problem in the panel data framework, we allow for mutually dependent panels, unequal variances across the panels, and possibly an extremely short follow up period. Two competitive ratio type test statistics are introduced and their asymptotic properties are derived for a large number of available panels. The proposed tests are proved to be consistent and their empirical properties are investigated in an extensive simulation study. The suggested testing approaches are also applied to a real data problem. Pracoviště Ústav informatiky Kontakt Tereza Šírová, sirova@cs.cas.cz, Tel.: 266 053 800 Rok sběru 2019
Počet záznamů: 1