Changepoint estimation for dependent and non-stationary panels.
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Publication:778562
DOI10.21136/AM.2020.0296-19OpenAlexW3031754953MaRDI QIDQ778562
Barbora Peštová, Matúš Maciak, Michal Pešta
Publication date: 2 July 2020
Published in: Applications of Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.21136/am.2020.0296-19
changepointestimationpanel datadependencenon-stationaritycall optionsnon-life insurancechange in means
Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10)
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Cites Work
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- Estimating a common deterministic time trend break in large panels with cross sectional dependence
- Changepoint estimation for dependent and non-stationary panels.
- Estimation of heterogeneous panels with structural breaks
- Basic properties of strong mixing conditions. A survey and some open questions
- Detection of structural breaks in linear dynamic panel data models
- Testing structural changes in panel data with small fixed panel size and bootstrap
- Total least squares and bootstrapping with applications in calibration
- Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
- Change‐point detection in panel data
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