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Description
  • We wish to test the null hypothesis if the means of N panels remain the same during the observation period of length T. A quasi-likelihood argument leads to self-normalized statistics whose limit distribution under the null hypothesis is double exponential. The main results are derived assuming that the each panel is based on independent observations and then extended to linear processes. The proofs are based on an approximation of the sum of squared CUSUM processes using the Skorokhod embedding scheme. A simulation study illustrates that our results can be used in case of small and moderate N and T. We apply our results to detect change in the %22corruption index%22.
  • We wish to test the null hypothesis if the means of N panels remain the same during the observation period of length T. A quasi-likelihood argument leads to self-normalized statistics whose limit distribution under the null hypothesis is double exponential. The main results are derived assuming that the each panel is based on independent observations and then extended to linear processes. The proofs are based on an approximation of the sum of squared CUSUM processes using the Skorokhod embedding scheme. A simulation study illustrates that our results can be used in case of small and moderate N and T. We apply our results to detect change in the %22corruption index%22. (en)
Title
  • Darling-Erdos limit results for change-point detection in panel data
  • Darling-Erdos limit results for change-point detection in panel data (en)
skos:prefLabel
  • Darling-Erdos limit results for change-point detection in panel data
  • Darling-Erdos limit results for change-point detection in panel data (en)
skos:notation
  • RIV/00216208:11320/13:10146107!RIV14-GA0-11320___
http://linked.open...avai/predkladatel
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • P(GAP201/12/1277)
http://linked.open...iv/cisloPeriodika
  • 5
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
http://linked.open...dnocenehoVysledku
  • 67897
http://linked.open...ai/riv/idVysledku
  • RIV/00216208:11320/13:10146107
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • CUSUM process; Weak convergence; Linear processes; Change in the mean; Panel date (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...odStatuVydavatele
  • NL - Nizozemsko
http://linked.open...ontrolniKodProRIV
  • [DC1E8FA27801]
http://linked.open...i/riv/nazevZdroje
  • Journal of Statistical Planning and Inference
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http://linked.open...ichTvurcuVysledku
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http://linked.open...vavai/riv/projekt
http://linked.open...UplatneniVysledku
http://linked.open...v/svazekPeriodika
  • 143
http://linked.open...iv/tvurceVysledku
  • Horvath, Lajos
  • Hušková, Marie
  • Chan, Julian
http://linked.open...ain/vavai/riv/wos
  • 000315753600007
issn
  • 0378-3758
number of pages
http://bibframe.org/vocab/doi
  • 10.1016/j.jspi.2012.11.004
http://localhost/t...ganizacniJednotka
  • 11320
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