Applications of Mathematics

Applications of Mathematics, Vol. 65, No. 3, pp. 299-310, 2020

Changepoint estimation for dependent and non-stationary panels

Michal Pešta, Barbora Peštová, Matúš Maciak

Received November 8, 2019. Published online May 25, 2020.

Abstract: The changepoint estimation problem of a common change in panel means for a very general panel data structure is considered. The observations within each panel are allowed to be generally dependent and non-stationary. Simultaneously, the panels are weakly dependent and non-stationary among each other. The follow up period can be extremely short and the changepoint magnitudes may differ across the panels accounting also for a specific situation that some magnitudes are equal to zero (thus, no jump is present in such case). We introduce a novel changepoint estimator without a boundary issue meaning that it can estimate the change close to the extremities of the studied time interval. The consistency of the nuisance-parameter-free estimator is proved regardless of the presence/absence of the change in panel means under relatively simple conditions. Empirical properties of the proposed estimator are investigated through a simulation study.

Keywords: panel data; changepoint; change in means; estimation; dependence; non-stationarity; call options; non-life insurance

Classification MSC: 62F10, 62H12, 62P05

DOI: 10.21136/AM.2020.0296-19

PDF available at: Springer Institute of Mathematics CAS Digital Mathematics Library

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Affiliations: Michal Pešta (corresponding author), Charles University, Faculty of Mathematics and Physics, Department of Probability and Mathematical Statistics, Sokolovská 83, 186 75 Praha 8, Czech Republic, e-mail: Michal.Pesta@mff.cuni.cz; Barbora Peštová, The Czech Academy of Sciences, Institute of Computer Science, Department of Medical Informatics and Biostatistics, Pod Vodárenskou věží 2, 182 07 Praha 8, Czech Republic, e-mail: Pestova@cs.cas.cz; Matúš Maciak, Charles University, Faculty of Mathematics and Physics, Department of Probability and Mathematical Statistics, Sokolovská 83, 186 75 Praha 8, Czech Republic, e-mail: Matus.Maciak@mff.cuni.cz

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