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arXiv · 1611.02571

Robust change-point detection in panel data

Alexander Dürre·Roland Fried
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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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Alexander Dürre, Roland Fried. 2016-11-08. Robust change-point detection in panel data. https://arxiv.org/abs/1611.02571

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