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A CUSUM test for panel mean change detection
- Title
- A CUSUM test for panel mean change detection
- Authors
- Shin, Dong Wan; Hwang, Eunju
- Ewha Authors
- 신동완
- SCOPUS Author ID
- 신동완
- Issue Date
- 2017
- Journal Title
- JOURNAL OF THE KOREAN STATISTICAL SOCIETY
- ISSN
- 1226-3192
1876-4231
- Citation
- JOURNAL OF THE KOREAN STATISTICAL SOCIETY vol. 46, no. 1, pp. 70 - 77
- Keywords
- Panel model; Average change; CUSUM; Mean change; Squared CUSUM
- Publisher
- KOREAN STATISTICAL SOC
- Indexed
- SCIE; SCOPUS; KCI
- Document Type
- Article
- 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
- Appears in Collections:
- 자연과학대학 > 통계학전공 > Journal papers
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