A general panel break test based on the self-normalization method

DOI10.1007/S42952-021-00125-5MaRDI QIDQ2132016zbMATH OpenOpenAlexFDO

Authors Ji Eun Choi, Dong Wan Shin

Publication date 27 April 2022

Published in Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s42952-021-00125-5

zbMATH Keywords

cross-sectional dependenceself-normalizationserial dependencemean break testpanel break testquantile break testvariance break test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Non-Markovian processes: hypothesis testing (62M07)

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Cites work

• A CUSUM test for panel mean change detection
• A PANIC attack on unit roots and cointegration.
• A self-normalization test for correlation change
• Asymptotics for linear processes
• Automatic Block-Length Selection for the Dependent Bootstrap
• Change-point detection in panel data
• Common breaks in means and variances for panel data
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Moving block bootstrapping for a CUSUM test for correlation change
• Nonlinear IV panel unit root testing under structural breaks in the error variance
• Nonmonotonic power for tests of a mean shift in a time series§
• On Bayesian Modeling of Fat Tails and Skewness
• Sequential block bootstrap in a Hilbert space with application to change point analysis
• Simple Robust Testing of Regression Hypotheses
• Simulation‐based hypothesis testing of high dimensional means under covariance heterogeneity
• Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series
• Stationary bootstrapping for common mean change detection in cross-sectionally dependent panels
• Testing That a Dependent Process Is Uncorrelated
• Testing change in volatility using panel data
• Testing for change points in time series
• Testing for change-points in long-range dependent time series by means of a self-normalized Wilcoxon test
• Unsupervised self-normalized change-point testing for time series
• Variance change-point detection in panel data models

Cited in

(5)

• A mean-difference test based on self-normalization for alternating regime index data sets
• Bootstrapping tests for breaks in mean or variance based on U-statistics
• Subsample scan test for multiple breaks based on self-normalization
• A self-normalization break test for correlation matrix
• A self-normalization test for correlation change

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