COMPSTAT 2022: Start Registration
View Submission - COMPSTAT2022
A0194
Title: Changepoint in dependent and non-stationary panels Authors:  Matus Maciak - Charles University (Czech Republic)
Barbora Pestova - The Czech Academy of Sciences, Institute of Computer Science (Czech Republic)
Michal Pesta - Charles University (Czech Republic) [presenting]
Abstract: Detection procedures for a change in means of panel data are proposed. Unlike classical inference tools used for the changepoint analysis in the panel data framework, we allow for mutually dependent and generally non-stationary panels with an extremely short follow-up period. Two competitive self-normalized test statistics are employed, and their asymptotic properties are derived for a large number of available panels. The bootstrap extensions are introduced in order to handle such a universal setup. The novel change-point methods are able to detect a common break point even when the change occurs immediately after the first time point or just before the last observation period. The developed tests are proved to be consistent. Their empirical properties are investigated through a simulation study. The invented techniques are applied to option pricing.