A CUSUM test for panel mean change detection

DOI10.1016/J.JKSS.2016.06.003MaRDI QIDQ508105zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

CUSUMpanel modellimiting null distributionaverage changemean changesquared CUSUM

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential statistical analysis (62L10) Central limit and other weak theorems (60F05) Non-Markovian processes: hypothesis testing (62M07)

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Cites work

• A CUSUM test for a long memory heterogeneous autoregressive model
• A CUSUMSQ test for structural breaks in error variance for a long memory heterogeneous autoregressive model
• An integrated heteroscedastic autoregressive model for forecasting realized volatilities
• Asymptotics for linear processes
• Change-point detection in panel data
• Common breaks in means and variances for panel data
• 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 For and Dating Common Breaks in Multivariate Time Series
• Testing change in volatility using panel data
• Variance change-point detection in panel data models

Cited in

(22)

• Inference for change point and post change means after a CUSUM test.
• The Cusum Test for Parameter Change in Time Series Models
• 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
• scientific article; zbMATH DE number 1031821 (Why is no real title available?)
• 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
• Mean adjustment and the CUSUM test for structural change
• A two-stage estimator for change point in the mean of panel data
• 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

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