4 papers
Consistency of Selection Strategies for Fraud Detection
Christos Revelas, Otilia Boldea, Bas J. M. Werker
This paper studies how insurers can chose which claims to investigate for fraud. Given a prediction model, typically only claims with the highest predicted propability of being fra…
Testing for multiple change-points in macroeconometrics: an empirical guide and recent developments
Otilia Boldea, Alastair R. Hall
We review recent developments in detecting and estimating multiple change-points in time series models with exogenous and endogenous regressors, panel data models, and factor model…
Bootstrapping Structural Change Tests
Otilia Boldea, Adriana Cornea-Madeira, Alastair R. Hall
This paper analyses the use of bootstrap methods to test for parameter change in linear models estimated via Two Stage Least Squares (2SLS). Two types of test are considered: one w…
Change Point Estimation in Panel Data with Time-Varying Individual Effects
Otilia Boldea, Bettina Drepper, Zhuojiong Gan
This paper proposes a method for estimating multiple change points in panel data models with unobserved individual effects via ordinary least-squares (OLS). Typically, in this sett…