Detection Changes in a Linear Dynamic Panel Data Model

Zuzana Prášková ()
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Zuzana Prášková: Charles University, Department of Probability and Mathematical Statistics, Faculty of Mathematics and Physics

Chapter Chapter 10 in Asymptotic and Methodological Statistics, 2026, pp 197-216 from Springer

Abstract: Abstract In this paper we provide some asymptotic results concerning the detection of a change in a set of panel data, where we assume cross-sectional independence between panels but serially correlated observations. Especially, we assume that observations follow independent autoregressive models of order p and their coefficients can change. The test is based on an aggregate CUSUM statistic.

Date: 2026
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-032-07178-1_10

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DOI: 10.1007/978-3-032-07178-1_10

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