Abstract
In this paper, a two-stage consistency estimator for change point in the mean of panel data is given. Firstly, a single sequence is extracted, and the initial estimator and confidence interval of the change point are given by the least square method. Based on the confidence interval, a random interval containing change point with probability tending to 1 is constructed. Secondly, using all panel data falling into the random interval, the final estimator of change point is obtained by least square estimation. The asymptotic distribution is established. Simulation results show that our method can not only ensure the estimation accuracy but also greatly reduce time complexity.
Highlights
One of the tools to analyse large, high-dimensional datasets is the panel data model. is paper studies the problem of structural changes for panel data, in which there are N series, and each series has T observations
While it may be difficult to identify a change point with single series, it should be, naturally, much easier to locate the common change point using a number of series together. is paper explores the panel data approach to the estimation of change point
Bai [7] established the consistency of the estimated common change point in panel data by the least square method
Summary
One of the tools to analyse large, high-dimensional datasets is the panel data model. is paper studies the problem of structural changes for panel data, in which there are N series (variables), and each series has T observations. Is paper studies the problem of structural changes for panel data, in which there are N series (variables), and each series has T observations. Common change points in panel data are wide spread phenomena. Is paper explores the panel data approach to the estimation of change point. Ey proved that the common distribution of the i.i.d. change points can be consistently estimated. Bai [7] established the consistency of the estimated common change point in panel data by the least square method. How to quickly and accurately estimate the change point location has become a real problem to be solved. Is paper proposes a two-stage estimation method to locate change point in the mean of panel data, and the consistency of the estimator is proved Cao and Xia [10] considered a fast estimation method for univariate sequence. is paper proposes a two-stage estimation method to locate change point in the mean of panel data, and the consistency of the estimator is proved
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