Change‐Point Detection in Panel Data

18 Pages Posted: 15 Jun 2012

See all articles by Lajos Horváth

Lajos Horváth

University of Utah - Department of Mathematics

Marie Hušková

affiliation not provided to SSRN

Date Written: July 2012

Abstract

We consider N panels and each panel is based on T observations. We are interested to test if the means of the panels remain the same during the observation period against the alternative that the means change at an unknown time. We provide tests which are derived from a likelihood argument and they are based on the adaptation of the CUSUM method to panel data. Asymptotic distributions are derived under the no change null hypothesis and the consistency of the tests are proven under the alternative. The asymptotic results are shown to work in case of small and moderate sample sizes via Monte Carlo simulations.

Keywords: Panel date, change in the mean, linear processes, weak convergence, CUSUM process, 62M10, 62F05, 60F17

Suggested Citation

Horváth, Lajos and Hušková, Marie, Change‐Point Detection in Panel Data (July 2012). Journal of Time Series Analysis, Vol. 33, Issue 4, pp. 631-648, 2012. Available at SSRN: https://ssrn.com/abstract=2084594 or http://dx.doi.org/10.1111/j.1467-9892.2012.00796.x

Lajos Horváth (Contact Author)

University of Utah - Department of Mathematics ( email )

1645 E. Campus Center
Salt Lake City, UT 84112
United States
801 581-8159 (Phone)

Marie Hušková

affiliation not provided to SSRN

No Address Available

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