Change Point Estimation in Panel Data without Boundary Issue

Barbora Peštová and Michal Pešta
Additional contact information
Barbora Peštová: Department of Medical Informatics and Biostatistics, Institute of Computer Science, The Czech Academy of Sciences, Pod Vodárenskou věží 271/2, 18207 Prague 8, Czech Republic
Michal Pešta: Department of Probability and Mathematical Statistics, Faculty of Mathematics and Physics, Charles University, Sokolovská 83, 18675 Prague 8, Czech Republic

Risks, 2017, vol. 5, issue 1, 1-22

Abstract: 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 point even when the change happens immediately after the first time point or just before the last observation period. Another advantage of the elaborated change point estimator is that it results in the last observation in situations with no structural breaks. The consistency of the change point estimator in panel data is established. The results are illustrated through a simulation study. As a by-product of the developed estimation technique, a theoretical utilization for correlation structure estimation, hypothesis testing and bootstrapping in panel data is demonstrated. A practical application to non-life insurance is presented, as well.

Keywords: change point; estimation; consistency; panel data; short panels; boundary issue; structural change; bootstrap; non-life insurance; change in claim amounts (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.mdpi.com/2227-9091/5/1/7/pdf (application/pdf)
https://www.mdpi.com/2227-9091/5/1/7/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jrisks:v:5:y:2017:i:1:p:7-:d:88504

Access Statistics for this article

Risks is currently edited by Mr. Claude Zhang

More articles in Risks from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().