SEMINÁRIO: Change Point Detection in Panel Data


  • Prof. Lajos Horváth – Department of Mathematics – University of Utah – USA
  • FCUL (DEIO) – Bloco C6 Piso 4 – Campo Grande – Sala: 6.4.31 – 14:30 horas
  • Quarta-feira, 2 de Abril de 2014
  • Referência Projeto: Pest-OE/MAT/UI0006/2014

We consider N panels with T observations in each panel. The panels are time series, the dependence between the panels is modeled by unobservable common factors. We test if there is a change in the means of the panels. We also provide a CUSUM type estimator for the location of the change in the means of the panels. We provide several limit theorems for the difference between the true value of the time of change and it is estimator. Our results provide a full description of the asymptotic theory for the estimator of the time of change. The norming and the form of the limit distribution depends on the sizes of changes and the dependence between the panels. The talk is based on joint work with Marie Husková (Charles University, Prague).