On CUSUM test for dynamic panel models

Minyoung Jo and Sangyeol Lee ()
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Minyoung Jo: Seoul National University
Sangyeol Lee: Seoul National University

Statistical Methods & Applications, 2021, vol. 30, issue 2, No 6, 515-542

Abstract: Abstract In this study, we consider the problem of testing for a parameter change in dynamic panel models with fixed effects. As a test, we suggest using the CUSUM test based on the score vectors and show that under regularity conditions, the test converges weakly to the supremum of a Gaussian process. The test is then compared with the location-scale CUSUM (LSCUSUM) test through Monte Carlo simulation, showing its superiority to the LSCUSUM test. We also conduct a real data analysis using the real energy consumption data of OECD countries along with their GDPs for illustration.

Keywords: Dynamic panel model; Parameter change test; CUSUM test; Weak convergence to a Gaussian process (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1007/s10260-020-00533-7

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