Robust change-point detection in panel data
Statistics Theory
2017-03-22 v2 Statistics Theory
Abstract
In panel data we observe a usually high number N of individuals over a time period T. Even if T is large one often assumes stability of the model over time. We propose a nonparametric and robust test for a change in location and derive its asymptotic distribution under short range dependence and for N, T tending to infinity. Some simulations show its usefulness under heavy tailed distributions.
Cite
@article{arxiv.1611.02571,
title = {Robust change-point detection in panel data},
author = {Alexander Dürre and Roland Fried},
journal= {arXiv preprint arXiv:1611.02571},
year = {2017}
}