Robust change-point detection in panel data

2016/11/08 by Alexander Dürre, Roland Fried, Dürre, Alexander +1
Economics, Econometrics and Finance · Mathematics · #62G10 (Primary) 62G35 #62M10 (Secondary) #FOS: Mathematics #Global trade and economics #Spatial and Panel Data Analysis #Statistical Methods and Inference #Statistics Theory (math.ST)

paper · pdf · doi:10.48550/arxiv.1611.02571

openalex publication_date 2016/11/08 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

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.

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