Variance change-point detection in panel data models

Fuxiao Li, Zheng Tian, Yanting Xiao and Zhanshou Chen

Economics Letters, 2015, vol. 126, issue C, 140-143

Abstract: This paper proposes a cumulative sum (CUSUM) based statistic to test if there is a common variance change-point in panel data models. Asymptotic distribution is derived under the null hypothesis and the consistency of the test is proven under the alternative hypothesis. Monte Carlo experiment is carried out to show the effectiveness of the proposed procedure.

Keywords: Panel data models; Common variance change-point; CUSUM-based statistic (search for similar items in EconPapers)
JEL-codes: C10 C12 C13 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:126:y:2015:i:c:p:140-143

DOI: 10.1016/j.econlet.2014.12.005

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