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Change‐point detection in panel data
Author(s) -
Horváth Lajos,
Hušková Marie
Publication year - 2012
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.2012.00796.x
Subject(s) - cusum , mathematics , consistency (knowledge bases) , monte carlo method , null hypothesis , panel data , statistics , sample size determination , sample (material) , econometrics , statistical hypothesis testing
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.