Change point estimation in panel data without boundary issue

Artikel

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Risks ; ISSN: 2227-9091 ; Volume: 5 ; Year: 2017 ; Issue: 1 ; Pages: 1-22 ; Basel: MDPI

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models ; Estimation: General ; Hypothesis Testing: General ; Statistical Simulation Methods: General ; Insurance; Insurance Companies; Actuarial Studies
• Subject: change point ; estimation ; consistency ; panel data ; short panels ; boundary issue ; structural change ; bootstrap ; non-life insurance ; change in claim amounts

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Peštová, Barbora ; Pešta, Michal
• Event: Veröffentlichung
• (who): MDPI
• (where): Basel
• (when): 2017

Further information

• DOI: doi:10.3390/risks5010007
• Handle: http://hdl.handle.net/10419/167912
• Last update: 10.03.2025, 11:44 AM CET