Variance change-point detection in panel data models

DOI10.1016/J.ECONLET.2014.12.005zbMATH Open1321.62110OpenAlexW1982036821MaRDI QIDQ498780FDOQ498780

Authors Fuxiao Li, Zheng Tian, Yanting Xiao, Zhanshou Chen

Publication date 29 September 2015

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2014.12.005

zbMATH Keywords

panel data modelscommon variance change-pointCUSUM-based statistic

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Sequential statistical analysis (62L10) Non-Markovian processes: hypothesis testing (62M07)

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Cites work

• scientific article; zbMATH DE number 1048663 (Why is no real title available?)
• A simple nonparametric test for structural change in joint tail probabilities
• Asymptotic theory of statistics and probability
• Change-point detection in panel data
• Common breaks in means and variances for panel data
• Estimation in multi-path change-point problems
• On tests for changes in persistence
• Ratio tests for variance change in nonparametric regression
• Structural Changes, Common Stochastic Trends, and Unit Roots in Panel Data
• The Cusum of Squares Test for Scale Changes in Infinite Order Moving Average Processes
• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance

Cited in

(22)

• Testing change in volatility using panel data
• On CUSUM test for dynamic panel models
• Change-point detection in panel data
• Change point detection in panel data
• Darling-Erdős limit results for change-point detection in panel data
• The asymptotic method of sequential change-point in panel data
• An application of Dirichlet process in clustering subjects via variance shift models: A course-evaluation study
• Detection of a change-point in variance by a weighted sum of powers of variances test
• Monitoring change points in IV models
• A new hybrid approach to panel data change point detection
• Change-point detection in panel data via double CUSUM statistic
• Stationary bootstrapping for common mean change detection in cross-sectionally dependent panels
• Cumulative sum estimator for change-point in panel data
• The least squares estimation of gradual change point in variances of panel data
• Joint estimation of gradual variance changepoint for panel data with common structures
• A fluctuation test for structural change detection in heterogeneous panel data models
• A general panel break test based on the self-normalization method
• Asymptotic properties of the CUSUM estimator for the time of change in linear panel data models
• An efficient algorithm to estimate the change in variance
• A CUSUM test for panel mean change detection
• A combined SR-CUSUM procedure for detecting common changes in panel data
• An evaluation of some methods used for determination of homogenous structural break point in mean of panel data

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