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A CUSUM test for panel mean change detection

Title
A CUSUM test for panel mean change detection
Authors
Shin, Dong WanHwang, Eunju
Ewha Authors
신동완
SCOPUS Author ID
신동완scopus
Issue Date
2017
Journal Title
JOURNAL OF THE KOREAN STATISTICAL SOCIETY
ISSN
1226-3192JCR Link1876-4231JCR Link
Citation
vol. 46, no. 1, pp. 70 - 77
Keywords
Panel modelAverage changeCUSUMMean changeSquared CUSUM
Publisher
KOREAN STATISTICAL SOC
Indexed
SCIE; SCOPUS; KCI WOS scopus
Abstract
A test for panel structural mean change is developed from the CUSUM of the panel processes. Limiting null distribution and consistency of the test are established. The test is shown to have stable finite sample sizes than the existing test of Horvath and Huskova (2012) based on the squared CUSUM. If the mean changes are not cancelled in that their average is away from zero, the proposed test has better power than the existing test. On the other hand, if the mean changes are nearly cancelled, the existing test has better power. The proposed tests are illustrated by a real data set analysis. (C) 2016 Published by Elsevier B.V. on behalf of The Korean Statistical Society.A test for panel structural mean change is developed from the CUSUM of the panel processes. Limiting null distribution and consistency of the test are established. The test is shown to have stable finite sample sizes than the existing test of Horvath and Huskova (2012) based on the squared CUSUM. If the mean changes are not cancelled in that their average is away from zero, the proposed test has better power than the existing test. On the other hand, if the mean changes are nearly cancelled, the existing test has better power. The proposed tests are illustrated by a real data set analysis. (C) 2016 Published by Elsevier B.V. on behalf of The Korean Statistical Society.
DOI
10.1016/j.jkss.2016.06.003
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자연과학대학 > 통계학전공 > Journal papers
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