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

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

bootstrap; panel data; change in mean; change point; short panels; ratio type statistics; fixed panel size

Mathematics Subject Classification ID

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

62E20: Asymptotic distribution theory in statistics

62P05: Applications of statistics to actuarial sciences and financial mathematics

62H15: Hypothesis testing in multivariate analysis

62F05: Asymptotic properties of parametric tests

Related Items

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

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