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Changepoint Estimation for Dependent and Non-Stationary Panels
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SYSNO ASEP 0524854 Document Type J - Journal Article R&D Document Type Journal Article Subsidiary J Článek ve WOS Title Changepoint Estimation for Dependent and Non-Stationary Panels Author(s) Pešta, M. (CZ)
Peštová, Barbora (UIVT-O) RID, SAI
Maciak, M. (CZ)Source Title Applications of Mathematics. - : Springer - ISSN 0862-7940
Roč. 65, č. 3 (2020), s. 299-310Number of pages 12 s. Language eng - English Country CZ - Czech Republic Keywords panel data ; changepoint ; change in means ; estimation ; dependence ; non-stationarity ; call options ; non-life insurance Subject RIV BB - Applied Statistics, Operational Research OECD category Statistics and probability Method of publishing Open access with time embargo (01.06.2022) Institutional support UIVT-O - RVO:67985807 UT WOS 000544260100007 EID SCOPUS 85085326730 DOI 10.21136/AM.2020.0296-19 Annotation 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. Workplace Institute of Computer Science Contact Tereza Šírová, sirova@cs.cas.cz, Tel.: 266 053 800 Year of Publishing 2021 Electronic address http://hdl.handle.net/11104/0309102
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