Testing for parameter constancy in the time series direction in panel data models

DOI10.1080/00949655.2014.945089zbMath1457.62282OpenAlexW1990734983MaRDI QIDQ5220921

Eiji Kurozumi, Daisuke Yamazaki

Publication date: 27 March 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2014.945089

zbMATH Keywords

characteristic functionpanel datapoint optimal testlocally optimal testparameter constancyresponse surface regression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15) Non-Markovian processes: hypothesis testing (62M07)

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Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso ⋮ Estimating restricted common structural changes for panel data ⋮ Testing for time-varying factor loadings in high-dimensional factor models

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