A CUSUM test for panel mean change detection
DOI10.1016/J.JKSS.2016.06.003zbMATH Open1360.62435OpenAlexW2501625103MaRDI QIDQ508105FDOQ508105
Authors: Dong Wan Shin, Eunju Hwang 
Publication date: 9 February 2017
Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jkss.2016.06.003
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Cites Work
- Asymptotics for linear processes
- Change-point detection in panel data
- Testing For and Dating Common Breaks in Multivariate Time Series
- A CUSUM test for a long memory heterogeneous autoregressive model
- Common breaks in means and variances for panel data
- Variance change-point detection in panel data models
- A CUSUMSQ test for structural breaks in error variance for a long memory heterogeneous autoregressive model
- Forecasting the realized variance of the log-return of Korean won US dollar exchange rate addressing jumps both in stock-trading time and in overnight
- Testing change in volatility using panel data
- An integrated heteroscedastic autoregressive model for forecasting realized volatilities
Cited In (22)
- An adaptation of Page's CUSUM test for change detection
- A modified CUSUM test for orthogonal structural changes
- Change-point detection in panel data
- Alternative boundaries for CUSUM tests
- Title not available (Why is that?)
- Block bootstrapping for a panel mean break test
- A general panel break test based on the self-normalization method
- A fluctuation test for structural change detection in heterogeneous panel data models
- Subsample scan test for multiple breaks based on self-normalization
- Change point in panel data with small fixed panel size: ratio and non-ratio test statistics
- A two-stage estimator for change point in the mean of panel data
- Mean adjustment and the CUSUM test for structural change
- A combined SR-CUSUM procedure for detecting common changes in panel data
- A CUSUM test for common trends in large heterogeneous panels
- On CUSUM test for dynamic panel models
- Darling-Erdős limit results for change-point detection in panel data
- Stationary bootstrapping for common mean change detection in cross-sectionally dependent panels
- Change-point detection in panel data via double CUSUM statistic
- Variance change-point detection in panel data models
- Testing change in volatility using panel data
- The Cusum Test for Parameter Change in Time Series Models
- Inference for change point and post change means after a CUSUM test.
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