Structural breaks in dependent, heteroscedastic, and extremal panel data

Matúš Maciak; Barbora Peštová; Michal Pešta

Kybernetika (2018)

  • Volume: 54, Issue: 6, page 1106-1121
  • ISSN: 0023-5954

Abstract

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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.

How to cite

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Maciak, Matúš, Peštová, Barbora, and Pešta, Michal. "Structural breaks in dependent, heteroscedastic, and extremal panel data." Kybernetika 54.6 (2018): 1106-1121. <http://eudml.org/doc/294405>.

@article{Maciak2018,
abstract = {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.},
author = {Maciak, Matúš, Peštová, Barbora, Pešta, Michal},
journal = {Kybernetika},
keywords = {panel data; dependence within panels; dependence between panels; changepoint; short panels; heteroscedasticity; ratio type statistics; consistency},
language = {eng},
number = {6},
pages = {1106-1121},
publisher = {Institute of Information Theory and Automation AS CR},
title = {Structural breaks in dependent, heteroscedastic, and extremal panel data},
url = {http://eudml.org/doc/294405},
volume = {54},
year = {2018},
}

TY - JOUR
AU - Maciak, Matúš
AU - Peštová, Barbora
AU - Pešta, Michal
TI - Structural breaks in dependent, heteroscedastic, and extremal panel data
JO - Kybernetika
PY - 2018
PB - Institute of Information Theory and Automation AS CR
VL - 54
IS - 6
SP - 1106
EP - 1121
AB - 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.
LA - eng
KW - panel data; dependence within panels; dependence between panels; changepoint; short panels; heteroscedasticity; ratio type statistics; consistency
UR - http://eudml.org/doc/294405
ER -

References

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