Testing structural changes in panel data with small fixed panel size and bootstrap

DOI10.1007/s00184-014-0522-8zbMath1333.62154arXiv1509.01291OpenAlexW2143104941MaRDI QIDQ2516566

Barbora Peštová, Michal Pešta

Publication date: 3 August 2015

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1509.01291

zbMATH Keywords

bootstrappanel datachange in meanchange pointshort panelsratio type statisticsfixed panel size

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Hypothesis testing in multivariate analysis (62H15) Asymptotic properties of parametric tests (62F05)

Related Items (9)

A new hybrid approach to panel data change point detection ⋮ Panel data segmentation under finite time horizon ⋮ Nuisance-parameter-free changepoint detection in non-stationary series ⋮ Abrupt change in mean using block bootstrap and avoiding variance estimation ⋮ Changepoint in dependent and non-stationary panels ⋮ Changepoint detection by the quantile Lasso method ⋮ A two-stage estimator for change point in the mean of panel data ⋮ Changepoint estimation for dependent and non-stationary panels. ⋮ Structural breaks in panel data: Large number of panels and short length time series

Cites Work

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• Continuous Time Approximations to GARCH and Stochastic Volatility Models
• Ratio tests for variance change in nonparametric regression
• Change‐point detection in panel data
• Note on the Berry-Esseen Theorem

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