Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/167912
Authors: 
Peštová, Barbora
Pešta, Michal
Year of Publication: 
2017
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 5 [Year:] 2017 [Issue:] 1 [Pages:] 1-22
Abstract: 
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.
Subjects: 
change point
estimation
consistency
panel data
short panels
boundary issue
structural change
bootstrap
non-life insurance
change in claim amounts
JEL: 
C33
C13
C12
C15
G22
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article
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