Cumulative sum estimator for change-point in panel data

Cumulative sum estimator for change-point in panel data 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Statistical Papers Springer Journals

Cumulative sum estimator for change-point in panel data

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Publisher
Springer Berlin Heidelberg
Copyright
Copyright © 2015 by Springer-Verlag Berlin Heidelberg
Subject
Statistics; Statistics for Business/Economics/Mathematical Finance/Insurance; Probability Theory and Stochastic Processes; Economic Theory/Quantitative Economics/Mathematical Methods; Operations Research/Decision Theory
ISSN
0932-5026
eISSN
1613-9798
D.O.I.
10.1007/s00362-015-0722-y
Publisher site
See Article on Publisher Site

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.

Journal

Statistical PapersSpringer Journals

Published: Oct 27, 2015

References

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