Title: Some results on detection of change points in panel data
Authors: Marie Huskova - Charles University (Czech Republic) [presenting]
Jaromir Antoch - Charles University (Czech Republic)
Jan Hanousek - Charles University, Prague (Czech Republic)
Zdenek Hlavka - Charles University (Czech Republic)
Lajos Horvath - University of Utah (USA)
Shixuan Wang - Cardiff Univeristy (United Kingdom)
Abstract: Detection of changes in the panel data setup is considered when $T$ (time dimension) is finite/moderate and $N$ (number of panels) tends to infinity. Some test procedures (no change versus there is a change) and estimators of the time of a change. A proper wild bootstrap procedure is proposed. The asymptotic behavior of the proposed test statistics and estimators is investigated. Theoretical results are accompanied by simulations and the application testing procedure in the framework a CAPM model.