Changepoint Estimation for Dependent and Non-Stationary Panels

0524854 - ÚI 2021 RIV CZ eng J - Journal Article
Pešta, M. - Peštová, Barbora - Maciak, M.
Changepoint Estimation for Dependent and Non-Stationary Panels.
Applications of Mathematics. Roč. 65, č. 3 (2020), s. 299-310. ISSN 0862-7940. E-ISSN 1572-9109
Grant - others:GA ČR(CZ) GJ18-01781Y
Institutional support: RVO:67985807
Keywords : panel data * changepoint * change in means * estimation * dependence * non-stationarity * call options * non-life insurance
OECD category: Statistics and probability
Impact factor: 0.881, year: 2020
Method of publishing: Open access with time embargo

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.
Permanent Link: http://hdl.handle.net/11104/0309102