Detection of change points in panel data based on Bayesian MT method
نویسندگان
چکیده
منابع مشابه
a study on insurer solvency by panel data model: the case of iranian insurance market
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Estimation of Change Points in Panel Models
This paper studies a panel data regression setting, where a break occurs at a unknown common date. In this paper, we establish the consistency and rate of convergence of the change point estimator. The break date can be estimated consistently both in xed time horizon and large panels, which indicates that the structural change can be well detected even in short panels. Furthermore, the limitin...
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Change points detection in time series is an important area of research in statistics, has a long history and has many applications. However, very often change point analysis is only focused on the changes in the mean value of some quantity in a process. In this work we consider time series with discrete point changes which may contain a finite number of changes of probability density functions...
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ژورنال
عنوان ژورنال: Total Quality Science
سال: 2016
ISSN: 2189-3195
DOI: 10.17929/tqs.2.36