Testing change in volatility using panel data

DOI10.1016/J.ECONLET.2015.06.016MaRDI QIDQ529830zbMATH OpenOpenAlexFDO

Authors Yutang Shi

Publication date 9 June 2017

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2015.06.016

zbMATH Keywords

panel data modelchange in volatilityCUSUM process

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)

Recommendations

• Variance change-point detection in panel data models
• Change-point detection in panel data
• A CUSUM test for panel mean change detection
• Change point detection in panel data
• On CUSUM test for dynamic panel models

Cites work

• Change-point detection in panel data
• Common breaks in means and variances for panel data
• Variance change-point detection in panel data models

Cited in

(8)

• Stationary bootstrapping for common mean change detection in cross-sectionally dependent panels
• Joint estimation of gradual variance changepoint for panel data with common structures
• Testing for non-correlation between price and volatility jumps
• A general panel break test based on the self-normalization method
• Dynamic mixed models with heterogeneous covariance components using multivariate GARCH innovations and the Dirichlet process mixture
• Variance change-point detection in panel data models
• A CUSUM test for panel mean change detection
• Testing for changing volatility

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