A CUSUM test for panel mean change detection

DOI10.1016/j.jkss.2016.06.003zbMath1360.62435OpenAlexW2501625103MaRDI QIDQ508105

Dong Wan Shin, Eun-Ju Hwang

Publication date: 9 February 2017

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2016.06.003

zbMATH Keywords

CUSUMlimiting null distributionpanel modelaverage changemean changesquared CUSUM

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Sequential statistical analysis (62L10) Non-Markovian processes: hypothesis testing (62M07)

Related Items

Block bootstrapping for a panel mean break test ⋮ A general panel break test based on the self-normalization method ⋮ Stationary bootstrapping for common mean change detection in cross-sectionally dependent panels ⋮ Subsample scan test for multiple breaks based on self-normalization ⋮ A two-stage estimator for change point in the mean of panel data

Cites Work

• Variance change-point detection in panel data models
• Testing change in volatility using panel data
• An integrated heteroscedastic autoregressive model for forecasting realized volatilities
• Common breaks in means and variances for panel data
• Asymptotics for linear processes
• A CUSUMSQ test for structural breaks in error variance for a long memory heterogeneous autoregressive model
• A CUSUM test for a long memory heterogeneous autoregressive model
• Forecasting the realized variance of the log-return of Korean won US dollar exchange rate addressing jumps both in stock-trading time and in overnight
• Testing For and Dating Common Breaks in Multivariate Time Series
• Change‐point detection in panel data

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