Cumulative sum estimator for change-point in panel data

Zhuoheng Chen () and Yijun Hu ()
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Zhuoheng Chen: Wuhan University
Yijun Hu: Wuhan University

Statistical Papers, 2017, vol. 58, issue 3, No 9, 707-728

Abstract: Abstract We propose a new estimator for the common change-point in means for panel data. Cumulative sum method is used for estimating the common change-point. We establish the consistency of the estimated change-point, and provide the rate of convergence. Comparison with the existing results is made in a simulation study via Monte Carlo method, which shows that our proposed method is more efficient.

Keywords: Change-point; Panel data; Cumulative sum estimator; Mean shift; Consistency; Rate of convergence; 62F10; 62H12; 62M10 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s00362-015-0722-y

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