Variance change-point detection in panel data models

This paper proposes a cumulative sum (CUSUM) based statistic to test if there is a common variance change-point in panel data models. Asymptotic distribution is derived under the null hypothesis and the consistency of the test is proven under the alternative hypothesis. Monte Carlo experiment is carried out to show the effectiveness of the proposed procedure.

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Year of publication:	2015
Authors:	Li, Fuxiao ; Tian, Zheng ; Xiao, Yanting ; Chen, Zhanshou
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 126.2015, C, p. 140-143
Publisher:	Elsevier
Subject:	Panel data models \| Common variance change-point \| CUSUM-based statistic

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Type of publication:	Article
Classification:	C10 - Econometric and Statistical Methods: General. General ; C12 - Hypothesis Testing ; C13 - Estimation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011189523