Detection of multiple change-points in high-dimensional panel data with cross-sectional and temporal dependence
Author:
Funder
National Science Foundation
National Research Foundation of Korea
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
https://link.springer.com/content/pdf/10.1007/s00362-023-01484-3.pdf
Reference23 articles.
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2. Andrews DWK (1991) Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Econometrica 59(3):817–858
3. Baek C, Gates KM, Leinwand B, Pipiras V (2021) Two sample tests for high-dimensional autocovariances. Comput Stat Data Anal 153(C):107067
4. Bai J (2010) Common breaks in means and variances for panel data. J Econom 157(1):78–92
5. Bhattacharjee M, Banerjee M, Michailidis G (2019) Change point estimation in panel data with temporal and cross-sectional dependence. arXiv:1904.11101
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