Change Point Estimation in Panel Data without Boundary Issue

Change Point Estimation in Panel Data without Boundary Issue

Panel data of our interest consist of a moderate number of panels, while the panels contain a small number of observations. An estimator of common breaks in panel means without a boundary issue for this kind of scenario is proposed. In particular, the novel estimator is able to detect a common break...

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Bibliographic Details
Main Authors: Barbora Peštová, Michal Pešta
Format: Article
Language:English
Published: MDPI AG 2017-01-01
Series:Risks
Subjects:
change point
estimation
consistency
panel data
short panels
boundary issue
structural change
bootstrap
non-life insurance
change in claim amounts
Online Access:http://www.mdpi.com/2227-9091/5/1/7

Internet

http://www.mdpi.com/2227-9091/5/1/7

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