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Persistent link: https://www.econbiz.de/10011376444
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...
Persistent link: https://www.econbiz.de/10011189523