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Structural breaks in dependent, heteroscedastic, and extremal panel data
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SYSNO ASEP 0494146 Document Type J - Journal Article R&D Document Type Journal Article Subsidiary J Článek ve WOS Title Structural breaks in dependent, heteroscedastic, and extremal panel data Author(s) Maciak, M. (CZ)
Peštová, Barbora (UIVT-O) RID, SAI
Pešta, M. (CZ)Source Title Kybernetika. - : Ústav teorie informace a automatizace AV ČR, v. v. i. - ISSN 0023-5954
Roč. 54, č. 6 (2018), s. 1106-1121Number of pages 16 s. Language eng - English Country CZ - Czech Republic Keywords panel data ; dependence within panels ; dependence between panels ; changepoint ; short panels ; heteroscedasticity ; ratio type statistics ; consistency Subject RIV BB - Applied Statistics, Operational Research OECD category Statistics and probability Institutional support UIVT-O - RVO:67985807 UT WOS 000457070200002 EID SCOPUS 85064220108 DOI 10.14736/kyb-2018-6-1106 Annotation 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. Workplace Institute of Computer Science Contact Tereza Šírová, sirova@cs.cas.cz, Tel.: 266 053 800 Year of Publishing 2019
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