Stationary bootstrapping for common mean change detection in cross-sectionally dependent panels

DOI10.1007/S00184-017-0627-YMaRDI QIDQ1683643zbMATH OpenOpenAlexFDO

Authors Dong Wan Shin, Eunju Hwang

Publication date 1 December 2017

Published in Metrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00184-017-0627-y

zbMATH Keywords

size distortionbootstrap testcommon panel mean changecross-section correlationstationary bootstrapping

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09) Non-Markovian processes: hypothesis testing (62M07) Stationary stochastic processes (60G10)

Recommendations

• Block bootstrapping for a panel mean break test
• Stationary bootstrapping for panel cointegration tests under cross-sectional dependence
• Stationary bootstrapping for semiparametric panel unit root tests
• Moving block bootstrapping for a CUSUM test for correlation change
• Testing structural changes in panel data with small fixed panel size and bootstrap

Cites work

• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 1354815 (Why is no real title available?)
• A Bayesian method of distinguishing unit root from stationary processes based on panel data models with cross-sectional dependence
• A CUSUM test for panel mean change detection
• A PANIC attack on unit roots and cointegration.
• A functional central limit theorem for weakly dependent sequences of random variables
• A nonlinear panel data model of cross-sectional dependence
• An instrumental variable approach for panel unit root tests under cross-sectional dependence
• Asymptotics for linear processes
• Automatic Block-Length Selection for the Dependent Bootstrap
• Bootstrap unit root tests in panels with cross-sectional dependency
• Bootstrapping Unit Root Tests for Autoregressive Time Series
• Bootstrapping unit root tests for integrated processes
• Change-point detection in panel data
• Common breaks in means and variances for panel data
• Common breaks in time trends for large panel data with a factor structure
• Dynamic panel estimation and homogeneity testing under cross section dependence
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Maximal inequalities and an application under a weak dependence
• Maximal moment inequality for partial sums of strong mixing sequences and application
• Nonparametric estimation in large panels with cross-sectional dependence
• Stationary bootstrapping for cointegrating regressions
• Stationary bootstrapping for panel cointegration tests under cross-sectional dependence
• Stationary bootstrapping for semiparametric panel unit root tests
• Structural breaks in time series
• Tapered block bootstrap
• Testing change in volatility using panel data
• Testing for a unit root in panels with dynamic factors
• The Stationary Bootstrap
• The jackknife and the bootstrap for general stationary observations
• Unit root testing via the stationary bootstrap
• Unit root tests for cross-sectionally dependent panels: the influence of observed factors
• Variance change-point detection in panel data models

Cited in

(4)

• Stationary bootstrapping for panel cointegration tests under cross-sectional dependence
• Moving block bootstrapping for a CUSUM test for correlation change
• Block bootstrapping for a panel mean break test
• A general panel break test based on the self-normalization method

This page was built for publication: Stationary bootstrapping for common mean change detection in cross-sectionally dependent panels

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1683643)