Geodesic
Changepoint estimation for dependent and non-stationary panels
Applications of Mathematics, Tome 65 (2020) no. 3, pp. 299-310.

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The changepoint estimation problem of a common change in panel means for a very general panel data structure is considered. The observations within each panel are allowed to be generally dependent and non-stationary. Simultaneously, the panels are weakly dependent and non-stationary among each other. The follow up period can be extremely short and the changepoint magnitudes may differ across the panels accounting also for a specific situation that some magnitudes are equal to zero (thus, no jump is present in such case). We introduce a novel changepoint estimator without a boundary issue meaning that it can estimate the change close to the extremities of the studied time interval. The consistency of the nuisance-parameter-free estimator is proved regardless of the presence/absence of the change in panel means under relatively simple conditions. Empirical properties of the proposed estimator are investigated through a simulation study.
DOI : 10.21136/AM.2020.0296-19
Classification : 62F10, 62H12, 62P05
Keywords: panel data; changepoint; change in means; estimation; dependence; non-stationarity; call options; non-life insurance 
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Pešta, Michal; Peštová, Barbora; Maciak, Matúš. Changepoint estimation for dependent and non-stationary panels. Applications of Mathematics, Tome 65 (2020) no. 3, pp. 299-310. doi : 10.21136/AM.2020.0296-19. http://geodesic.mathdoc.fr/articles/10.21136/AM.2020.0296-19/

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