A fluctuation test for structural change detection in heterogeneous panel data models

DOI10.1007/S11424-024-2064-0MaRDI QIDQ6595021zbMATH OpenFDO

Authors Fuxiao Li, Yanting Xiao, Zhanshou Chen

Publication date 29 August 2024

Published in Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S11424-024-2064-0

zbMATH Keywords

common correlated effectsfluctuation testheterogeneous panel data modelsstructural change detection

Mathematics Subject Classification ID

Asymptotic properties of parametric tests (62F05) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Nonparametric testing for smooth structural changes in panel data models
• Variance change-point detection in panel data models
• Change-point detection in panel data
• Structural breaks in dependent, heteroscedastic, and extremal panel data.
• Change point detection in panel data

Cites work

• A CUSUM test for panel mean change detection
• Change detection in autoregressive time series
• Change-point detection in panel data
• Detecting common breaks in the means of high dimensional cross-dependent panels
• Detection of structural breaks in linear dynamic panel data models
• Estimation of heterogeneous panels with structural breaks
• scientific article; zbMATH DE number 1048663 (Why is no real title available?)
• Identification and estimation of a large factor model with structural instability
• Monitoring mean and variance change-points in long-memory time series
• Monitoring structural changes with the generalized fluctuation test
• Nonparametric maximum likelihood approach to multiple change-point problems
• Retrospective change detection in categorical time series
• Sequential change-point detection based on nearest neighbors
• Structural breaks in panel data: large number of panels and short length time series
• Testing for unit roots in heterogeneous panels.
• Testing structural changes in panel data with small fixed panel size and bootstrap
• Variance change-point detection in panel data models

This page was built for publication: A fluctuation test for structural change detection in heterogeneous panel data models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6595021)