Geodesic
Structural breaks in dependent, heteroscedastic, and extremal panel data
Kybernetika, Tome 54 (2018) no. 6, pp. 1106-1121
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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 proved to be consistent and their empirical properties are investigated in an extensive simulation study. The suggested testing approaches are also applied to a real data problem.
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 proved to be consistent and their empirical properties are investigated in an extensive simulation study. The suggested testing approaches are also applied to a real data problem.
DOI : 10.14736/kyb-2018-6-1106
Classification : 62E20, 62F40, 62H10, 62H15, 62P05
Keywords: panel data; dependence within panels; dependence between panels; changepoint; short panels; heteroscedasticity; ratio type statistics; consistency 
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     title = {Structural breaks in dependent, heteroscedastic, and extremal panel data},
     journal = {Kybernetika},
     pages = {1106--1121},
     year = {2018},
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Maciak, Matúš; Peštová, Barbora; Pešta, Michal. Structural breaks in dependent, heteroscedastic, and extremal panel data. Kybernetika, Tome 54 (2018) no. 6, pp. 1106-1121. doi: 10.14736/kyb-2018-6-1106

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