Abstract
Detection procedures for a change in means of panel data are proposed. Unlike classical inference tools used for the changepoint analysis in the panel data framework, we allow for mutually dependent and generally non-stationary panels with an extremely short follow-up period.
Two competitive self-normalized test statistics are employed and their asymptotic properties are derived for a large number of available panels. The bootstrap extensions are introduced in order to handle such a universal setup.
The novel changepoint methods are able to detect a common break point even when the change occurs immediately after the first time point or just before the last observation period. The developed tests are proved to be consistent.
Their empirical properties are investigated through a simulation study. The invented techniques are applied to option pricing and non-life insurance.