A general panel break test based on the self-normalization method
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Publication:2132016
DOI10.1007/s42952-021-00125-5zbMath1485.62115OpenAlexW3165917520MaRDI QIDQ2132016
Publication date: 27 April 2022
Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s42952-021-00125-5
serial dependenceself-normalizationcross-sectional dependencemean break testpanel break testquantile break testvariance break test
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)
Related Items (2)
Bootstrapping tests for breaks in mean or variance based on U-statistics ⋮ Subsample scan test for multiple breaks based on self-normalization
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