面板数据公共变点的非参数最大似然估计
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摘要
用非参数最大似然的方法研究了面板数据中带有单个公共变点的问题,估计了变点的位置,并且证明了变点估计量的相合性,得到了收敛速率.
In this paper, we study the problem of a single common change point in panel data. We estimate the common change point by nonparametric maximum likelihood method. When the number of sequences and the number of observations of each sequence tend to infinity, we prove the consistency of the change point estimator and obtain the corresponding convergence rate.
In this paper, we study the problem of a single common change point in panel data. We estimate the common change point by nonparametric maximum likelihood method. When the number of sequences and the number of observations of each sequence tend to infinity, we prove the consistency of the change point estimator and obtain the corresponding convergence rate.
引文
[1] Joseph L, Wolfson D B. Estimation in the multi-path change-point problems[J]. Communications in Statisics, Theory and Methods, 1992,21(4):897-913.
[2] Joseph L, Wolfson D B. Maximum likelihood estimation in the multi-path change-point problem[J].Annals of the Institute of Statistical Mathematics, 1993,45(3):511-530.
[3] Joseph L, Wolfson D B, Berger R D, et al. Analysis of panel data with change-points[J]. Statisic Sinica, 1997,7(2):687-703.
[4] Guan Z. A semi-parametric change point model[J]. Biometrika, 2004,91(2):849-862.
[5] Zou C L, Liu Y K, Qin P, et al. Empirical likelihood ratio test for the change-point problem[J].Statist. Probab. Lett., 2007,77(4):374-382.
[6] Liu Y K, Zou C L, Zhang R C. Empirical likelihood for the two-sample mean problem[J]. Statistics&Probability Letters, 2008,78(5):548-556.
[7] Bai J S. Common breaks in means and variances for panel data[J]. Journal of Econometrics,2010,157(1):78-92.
[8] Zou C L, Yin G S, Feng L, et al. Nonparametric maximum likelihood approach to multiple change-point problems[J]. Annals of Statistics, 2014,42(3):970-1002.
[9] Chen Z, Hu Y. Cumulative sum estimator for change-point in panel data[J]. Statistical Papers,2017,58(3):707-728.
[10] Belotti F, Hughes G, Piano Mortari A. Spatial panel data models using stata[J]. Ceis Research Paper, 2017,17(1):139-180.
[11] Wan S K, Xie Y, Cheng H. Panel data approach vs synthetic control method[J]. Economics Letters, 2018,164(2):121-123.
[2] Joseph L, Wolfson D B. Maximum likelihood estimation in the multi-path change-point problem[J].Annals of the Institute of Statistical Mathematics, 1993,45(3):511-530.
[3] Joseph L, Wolfson D B, Berger R D, et al. Analysis of panel data with change-points[J]. Statisic Sinica, 1997,7(2):687-703.
[4] Guan Z. A semi-parametric change point model[J]. Biometrika, 2004,91(2):849-862.
[5] Zou C L, Liu Y K, Qin P, et al. Empirical likelihood ratio test for the change-point problem[J].Statist. Probab. Lett., 2007,77(4):374-382.
[6] Liu Y K, Zou C L, Zhang R C. Empirical likelihood for the two-sample mean problem[J]. Statistics&Probability Letters, 2008,78(5):548-556.
[7] Bai J S. Common breaks in means and variances for panel data[J]. Journal of Econometrics,2010,157(1):78-92.
[8] Zou C L, Yin G S, Feng L, et al. Nonparametric maximum likelihood approach to multiple change-point problems[J]. Annals of Statistics, 2014,42(3):970-1002.
[9] Chen Z, Hu Y. Cumulative sum estimator for change-point in panel data[J]. Statistical Papers,2017,58(3):707-728.
[10] Belotti F, Hughes G, Piano Mortari A. Spatial panel data models using stata[J]. Ceis Research Paper, 2017,17(1):139-180.
[11] Wan S K, Xie Y, Cheng H. Panel data approach vs synthetic control method[J]. Economics Letters, 2018,164(2):121-123.