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Department seminar by Lajos Horvath, University of Utah Export this event to calendar

Thursday, June 9, 2016 — 4:00 PM EDT

Statistical Inference for Panel Data

We consider N panels with T observations in each panel. The panels are time series, the dependence between the panels is modeled by unobservable common factors. We provide a CUSUM type tests as well as estimators for the location of the change in the means of the panels. We obtain several limit theorems for the CUSUM tests under the no change null and the exactly one change alternative. We establish the asymptotics for difference between the true value of the time of change and its estimator. We illustrate the testing method with data on the Gini index (measure of inequality) and on the corruption index. We apply the limit results to construct confidence intervals for the time of change in the exchange rates of the currencies of 23 countries with respect to the US dollar and for the change in the GDP/capita in 113 countries.

Location 
M3 - Mathematics 3
3127

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