Testing change in volatility using panel data

DOI10.1016/j.econlet.2015.06.016zbMath1364.62280OpenAlexW1855291401MaRDI QIDQ529830

Yutang Shi

Publication date: 9 June 2017

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2015.06.016

zbMATH Keywords

panel data modelchange in volatilityCUSUM process

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items (4)

A general panel break test based on the self-normalization method ⋮ Stationary bootstrapping for common mean change detection in cross-sectionally dependent panels ⋮ Dynamic mixed models with heterogeneous covariance components using multivariate GARCH innovations and the Dirichlet process mixture ⋮ A CUSUM test for panel mean change detection

Cites Work

• Variance change-point detection in panel data models
• Common breaks in means and variances for panel data
• Change‐point detection in panel data

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