A Two-Stage Estimator for Change Point in the Mean of Panel Data
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 interv...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Hindawi Limited
2021-01-01
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| Series: | Journal of Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2021/1455812 |
| 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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| ISSN: | 2314-4785 |