A Two-Stage Estimator for Change Point in the Mean of Panel Data | Zendy

Wenzhi Zhao | Zendy; Yinqian Yang | Zendy; Di Zhang | Zendy

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A Two-Stage Estimator for Change Point in the Mean of Panel Data

Author(s) -

Wenzhi Zhao,

Yinqian Yang,

Di Zhang

Publication year - 2021

Publication title -

journal of mathematics

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.252

H-Index - 13

eISSN - 2314-4785

pISSN - 2314-4629

DOI - 10.1155/2021/1455812

Subject(s) - mathematics , estimator , consistency (knowledge bases) , point estimation , statistics , confidence interval , interval estimation , interval (graph theory) , consistent estimator , asymptotic distribution , coverage probability , mean squared error , minimum variance unbiased estimator , combinatorics , discrete mathematics

In this paper, a two-stage consistency estimator for change point in the mean of panel data is given. Firstly, a single sequence is extracted, and the initial estimator and confidence interval of the change point are given by the least square method. Based on the confidence interval, a random interval containing change point with probability tending to 1 is constructed. Secondly, using all panel data falling into the random interval, the final estimator of change point is obtained by least square estimation. The asymptotic distribution is established. Simulation results show that our method can not only ensure the estimation accuracy but also greatly reduce time complexity.

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