ASYMPTOTIC PROPERTIES OF THE CUSUM ESTIMATOR FOR THE TIME OF CHANGE IN LINEAR PANEL DATA MODELS

DOI10.1017/S0266466615000468zbMath1441.62741OpenAlexW2580800645MaRDI QIDQ2986523

Lajos Horváth, Jia Wang, Marie Hušková, Gregory Rice

Publication date: 16 May 2017

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466615000468

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential estimation (62L12)

Related Items

The asymptotic distribution of CUSUM estimator based on α-mixing sequences, Block bootstrapping for a panel mean break test, Shrinkage quantile regression for panel data with multiple structural breaks, Common Breaks in Means for Cross‐Correlated Fixed‐T Panel Data, Breaks in persistence in fixed-\(T\) panel data, Estimating restricted common structural changes for panel data, The CUSUM statistic of change point under NA sequences, Structural breaks in panel data: Large number of panels and short length time series, Model-free classification of panel data via the ϵ-complexity theory

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