Testing change in volatility using panel data

Yutang Shi

Economics Letters, 2015, vol. 134, issue C, 107-110

Abstract: The focus of this paper is to test the possible changes in the volatility of panel data. The test statistic is derived from a likelihood argument and it is based on the CUSUM method. Asymptotic distribution is derived under the no change null hypothesis and the consistency of the test is also established. Monte Carlo simulation shows the effectiveness and improvement of the proposed procedure over some of the existing testing procedures.

Keywords: Panel data model; Change in volatility; CUSUM process (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:134:y:2015:i:c:p:107-110

DOI: 10.1016/j.econlet.2015.06.016

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