A two-stage estimator for change point in the mean of panel data

DOI10.1155/2021/1455812MaRDI QIDQ2052052zbMATH OpenOpenAlexFDO

Authors Wenzhi Zhao, Yinqian Yang, Di Zhang

Publication date 25 November 2021

Published in Journal of Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2021/1455812

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Review text

Summary: In this paper, a two-stage consistency estimator for change point in the mean of panel data is given. Firstly, a single sequence is extracted, and the initial estimator and confidence interval of the change point are given by the least square method. Based on the confidence interval, a random interval containing change point with probability tending to 1 is constructed. Secondly, using all panel data falling into the random interval, the final estimator of change point is obtained by least square estimation. The asymptotic distribution is established. Simulation results show that our method can not only ensure the estimation accuracy but also greatly reduce time complexity.

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Cites work

• A CUSUM test for panel mean change detection
• A fast estimation method for mean change point in massive data sets
• Change-point detection in panel data
• Common breaks in means and variances for panel data
• Estimation in multi-path change-point problems
• Estimation in the multipath change point problem for correlated data
• scientific article; zbMATH DE number 1052815 (Why is no real title available?)
• LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
• Maximum likelihood estimation in the multi-path change-point problem
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Cited in

(5)

• Cumulative sum estimator for change-point in panel data
• Optimality of two-stage estimator in panel models under mean squared error criterion
• A fast estimation method for mean change point in massive data sets
• Estimation of change point in linear panel model
• Estimation and identification of change points in panel models with nonstationary or stationary regressors and error term

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