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Title: Change point analysis in panel data without boundary issue Authors:  Barbora Pestova - The Czech Academy of Sciences, Institute of Computer Science (Czech Republic)
Michal Pesta - Charles University, Faculty of Mathematics and Physics (Czech Republic) [presenting]
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.