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Asymptotics for weakly dependent errors-in-variables

Michal Pešta — 2013

Kybernetika

Linear relations, containing measurement errors in input and output data, are taken into account in this paper. Parameters of these so-called errors-in-variables (EIV) models can be estimated by minimizing the total least squares (TLS) of the input-output disturbances. Such an estimate is highly non-linear. Moreover in some realistic situations, the errors cannot be considered as independent by nature. Weakly dependent ( α - and ϕ -mixing) disturbances, which are not necessarily stationary nor identically...

Changepoint estimation for dependent and non-stationary panels

Michal PeštaBarbora PeštováMatúš Maciak — 2020

Applications of Mathematics

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...

Structural breaks in dependent, heteroscedastic, and extremal panel data

Matúš MaciakBarbora PeštováMichal Pešta — 2018

Kybernetika

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...

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