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中国工业与应用数学学会会刊
主管：中华人民共和国教育部
主办：西安交通大学
ISSN 1005-3085  CN 61-1269/O1
工程数学学报

工程数学学报 ›› 2023, Vol. 40 ›› Issue (2): 251-264.doi: 10.3969/j.issn.1005-3085.2023.02.006

• • 上一篇    下一篇

面板数据中均值多变点和方差多变点的估计

徐小平,   刘  君,   杨倩男,   李拂晓   

  1. 西安理工大学理学院，西安  710054
  • 收稿日期:2020-12-06 接受日期:2022-09-27 出版日期:2023-04-15 发布日期:2023-06-20
  • 通讯作者: 李拂晓 E-mail: fx_lmzq@163.com
  • 基金资助:
    国家自然科学基金 (11801438)；陕西省自然科学基础研究计划 (2023-JC-YB-058)；陕西省创新能力支撑计划 (2020PT-023).

Multiple Change-point Estimation in the Mean and Variance of Panel Data Model

XU Xiaoping,  LIU Jun,  YANG Qiannan,  LI Fuxiao   

  1. School of Science, Xi'an University of Technology, Xi'an 710054
  • Received:2020-12-06 Accepted:2022-09-27 Online:2023-04-15 Published:2023-06-20
  • Contact: F. Li. E-mail address: fx_lmzq@163.com
  • Supported by:
    The National Natural Science Foundation of China (11801438); the Natural Science Basic Research Plan in Shaanxi Province (2023-JC-YB-058); the Innovation Capability Support Program of Shaanxi Province (2020PT-023).

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摘要：

面板数据中的变点问题是金融和计量经济学中的一类重要课题。现将局部形态识别的二元分割算法推广到面板数据上，研究了面板数据中均值多变点和方差多变点的估计问题，同时得到了变点个数及变点位置的估计，证明了估计量的相合性。Monte Carlo模拟表明基于局部形态识别的二元分割算法对这两类变点的估计效果均优于二元分割算法。最后将提出的算法分别应用于不同的股市周指数数据，说明了算法的有效性。

关键词: 面板数据, 多变点估计, 二元分割算法, 局部形态识别

Abstract:

Change-point problem in panel data is an important topic in finance and econometric. A multiple change-point estimation procedure based on the shape-based BS algorithm is extended to panel data, multiple change-point estimation in the mean and variance of panel data model is studied. The number and location of the change-points are also obtained, and the consistency of the change point estimators is proved. Monte Carlo simulation shows that the shape-based BS algorithm outperforms the BS algorithm in estimating both types of change points. Finally, this method is applied to different weekly index data of the stock market, which shows the effectiveness of the algorithm.

Key words: panel data, multiple change-point estimation, BS algorithm, local shape recognition

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