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Block bootstrapping for a panel mean break test

Title
Block bootstrapping for a panel mean break test
Authors
Choi, Ji-EunShin, Dong Wan
Ewha Authors
신동완
SCOPUS Author ID
신동완scopus
Issue Date
2020
Journal Title
JOURNAL OF THE KOREAN STATISTICAL SOCIETY
ISSN
1226-3192JCR Link

2005-2863JCR Link
Citation
JOURNAL OF THE KOREAN STATISTICAL SOCIETY vol. 49, no. 3, pp. 802 - 821
Keywords
Bootstrap testPanel mean breakCross-sectional dependenceSerial dependenceCircular block bootstrappingStationary bootstrapping
Publisher
SPRINGER HEIDELBERG
Indexed
SCIE; SCOPUS; KCI WOS scopus
Document Type
Article
Abstract
We consider block bootstrappings for panel mean change test of the squared CUSUM test of Horvath and Huskova (J Time Ser Anal 33:631-648, 2012): the circular block bootstrapping and stationary bootstrapping. First order asymptotic null validity of the test is proved under serial and/or cross-sectional correlation. Consistency of the test under an alternative hypothesis is also proved. A Monte-Carlo experiment reveals that the existing tests of Horvath and Huskova (2012) and others have severe size distortions for serially and/or cross-sectionally correlated panels, and the block bootstrappings remedy this size distortion problem. A real data analysis illustrates the proposed method.
DOI
10.1007/s42952-019-00034-8
Appears in Collections:
자연과학대학 > 통계학전공 > Journal papers
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