Počet záznamů: 1
Changepoint Estimation for Dependent and Non-Stationary Panels
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SYSNO ASEP 0524854 Druh ASEP J - Článek v odborném periodiku Zařazení RIV J - Článek v odborném periodiku Poddruh J Článek ve WOS Název Changepoint Estimation for Dependent and Non-Stationary Panels Tvůrce(i) Pešta, M. (CZ)
Peštová, Barbora (UIVT-O) RID, SAI
Maciak, M. (CZ)Zdroj.dok. Applications of Mathematics. - : Springer - ISSN 0862-7940
Roč. 65, č. 3 (2020), s. 299-310Poč.str. 12 s. Jazyk dok. eng - angličtina Země vyd. CZ - Česká republika Klíč. slova panel data ; changepoint ; change in means ; estimation ; dependence ; non-stationarity ; call options ; non-life insurance Vědní obor RIV BB - Aplikovaná statistika, operační výzkum Obor OECD Statistics and probability Způsob publikování Open access s časovým embargem (01.06.2022) Institucionální podpora UIVT-O - RVO:67985807 UT WOS 000544260100007 EID SCOPUS 85085326730 DOI 10.21136/AM.2020.0296-19 Anotace 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. Pracoviště Ústav informatiky Kontakt Tereza Šírová, sirova@cs.cas.cz, Tel.: 266 053 800 Rok sběru 2021 Elektronická adresa http://hdl.handle.net/11104/0309102
Počet záznamů: 1