Changepoint estimation for dependent and non-stationary panels
Michal Pešta; Barbora Peštová; Matúš Maciak
Applications of Mathematics (2020)
- Volume: 65, Issue: 3, page 299-310
- ISSN: 0862-7940
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topPešta, Michal, Peštová, Barbora, and Maciak, Matúš. "Changepoint estimation for dependent and non-stationary panels." Applications of Mathematics 65.3 (2020): 299-310. <http://eudml.org/doc/297130>.
@article{Pešta2020,
abstract = {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.},
author = {Pešta, Michal, Peštová, Barbora, Maciak, Matúš},
journal = {Applications of Mathematics},
keywords = {panel data; changepoint; change in means; estimation; dependence; non-stationarity; call options; non-life insurance},
language = {eng},
number = {3},
pages = {299-310},
publisher = {Institute of Mathematics, Academy of Sciences of the Czech Republic},
title = {Changepoint estimation for dependent and non-stationary panels},
url = {http://eudml.org/doc/297130},
volume = {65},
year = {2020},
}
TY - JOUR
AU - Pešta, Michal
AU - Peštová, Barbora
AU - Maciak, Matúš
TI - Changepoint estimation for dependent and non-stationary panels
JO - Applications of Mathematics
PY - 2020
PB - Institute of Mathematics, Academy of Sciences of the Czech Republic
VL - 65
IS - 3
SP - 299
EP - 310
AB - 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.
LA - eng
KW - panel data; changepoint; change in means; estimation; dependence; non-stationarity; call options; non-life insurance
UR - http://eudml.org/doc/297130
ER -
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