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Cumulative sum estimator for change-point in panel data

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Abstract

We propose a new estimator for the common change-point in means for panel data. Cumulative sum method is used for estimating the common change-point. We establish the consistency of the estimated change-point, and provide the rate of convergence. Comparison with the existing results is made in a simulation study via Monte Carlo method, which shows that our proposed method is more efficient.

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Acknowledgments

The authors are very grateful to the Editor-in-chief, the Associate Editor and the anonymous referees for their comments and suggestions which led to the present significantly improved version of the manuscript. Supported by the National Natural Science Foundation of China under Grants No. 11371284 and 11401227, also supported by the Natural Science Foundation of Fujian Province of China under Grant No. 2015J01583.

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Correspondence to Zhuoheng Chen.

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Chen, Z., Hu, Y. Cumulative sum estimator for change-point in panel data. Stat Papers 58, 707–728 (2017). https://doi.org/10.1007/s00362-015-0722-y

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  • DOI: https://doi.org/10.1007/s00362-015-0722-y

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