Variance change-point detection in panel data models
Economics Letters(2015)
摘要
This paper proposes a cumulative sum (CUSUM) based statistic to test if there is a common variance change-point in panel data models. Asymptotic distribution is derived under the null hypothesis and the consistency of the test is proven under the alternative hypothesis. Monte Carlo experiment is carried out to show the effectiveness of the proposed procedure.
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关键词
C10,C12,C13
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