Currently displaying 1 – 2 of 2

Showing per page

Order by Relevance | Title | Year of publication

Changepoint estimation for dependent and non-stationary panels

Michal Pešta;  Barbora Peštová;  Matúš 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 Maciak;  Barbora Peštová;  Michal 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...

Page 1

Download Results (CSV)