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1 Erratum to: Metrika (2015) 78:665–689 DOI 10.1007/s00184-014-0522-8
In the original publication, the form of the change point estimate presented in Section 4 is not suitable. The correct form of the estimate with correct assertion of Theorem 3 is given below. The corrected version of the original paper can be found on arXiv http://arxiv.org/abs/1509.01291.
Having a sequence of weights \(\{w(t)\}_{t=2}^T\), let us define the estimate of \(\tau \) as
Assumption E1
The sequence \(\left\{ \frac{t}{w(t)}\left( 1-\frac{r(t)}{t^2}\right) \right\} _{t=2}^T\) is decreasing.
Assumption E2
There exist constants \(L>0\) and \(N_0\in \mathbb {N}\) such that
for each \(t=\tau +1,\ldots ,T\) and \(N\ge N_0\).
Assumption E3
\(\lim _{N\rightarrow \infty }\frac{1}{N^2}\sum _{i=1}^N\delta _i^2=0\).
Assumption E4
\(\mathsf {E}\,\varepsilon _{1,t}^4<\infty ,\,t\in \{1,\ldots ,T\}\).
Theorem 3
(Change point estimate consistency) Suppose that \(\tau \ne 1\). Then, under Assumptions A1, E1, E2, E3, and E4
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The online version of the original article can be found under doi:10.1007/s00184-014-0522-8.
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Peštová, B., Pešta, M. Erratum to: Testing structural changes in panel data with small fixed panel size and bootstrap. Metrika 79, 237–238 (2016). https://doi.org/10.1007/s00184-015-0562-8
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DOI: https://doi.org/10.1007/s00184-015-0562-8