Number of the records: 1  

Change Point Estimation in Panel Data without Boundary Issue

  1. 1.
    0471353 - ÚI 2017 RIV CH eng J - Journal Article
    Peštová, Barbora - Pešta, M.
    Change Point Estimation in Panel Data without Boundary Issue.
    Risks. Roč. 5, č. 1 (2017), č. článku 7. E-ISSN 2227-9091
    Institutional support: RVO:67985807
    Keywords : change point * estimation * consistency * panel data * short panels * boundary issue * structural change * bootstrap * non-life insurance * change in claim amounts
    OECD category: Pure mathematics

    Panel data of our interest consist of a moderate number of panels, while the panels contain a small number of observations. An estimator of common breaks in panel means without a boundary issue for this kind of scenario is proposed. In particular, the novel estimator is able to detect a common break point even when the change happens immediately after the first time point or just before the last observation period. Another advantage of the elaborated change point estimator is that it results in the last observation in situations with no structural breaks. The consistency of the change point estimator in panel data is established. The results are illustrated through a simulation study. As a by-product of the developed estimation technique, a theoretical utilization for correlation structure estimation, hypothesis testing and bootstrapping in panel data is demonstrated. A practical application to non-life insurance is presented, as well.
    Permanent Link: http://hdl.handle.net/11104/0268738

     
     
Number of the records: 1  

  This site uses cookies to make them easier to browse. Learn more about how we use cookies.