首页|A Fluctuation Test for Structural Change Detection in Heterogeneous Panel Data Models

A Fluctuation Test for Structural Change Detection in Heterogeneous Panel Data Models

扫码查看
原文链接
  • NETL
  • NSTL
  • 万方数据
Structural change in panel data is a widespread phenomena.This paper proposes a fluc-tuation test to detect a structural change at an unknown date in heterogeneous panel data models with or without common correlated effects.The asymptotic properties of the fluctuation statistics in two cases are developed under the null and local alternative hypothesis.Furthermore,the consistency of the change point estimator is proven.Monte Carlo simulation shows that the fluctuation test can control the probability of type Ⅰ error in most cases,and the empirical power is high in case of small and moderate sample sizes.An application of the procedure to a real data is presented.

Common correlated effectsfluctuation testheterogeneous panel data modelsstructural change detection

LI Fuxiao、XIAO Yanting、CHEN Zhanshou

展开 >

Department of Applied Mathematics,Xi'an University of Technology,Xi'an 710048,China

School of Mathematics and Statistics,Qinghai Normal University,Xining 810008,China

Academy of Plateau Science and Sustainability,Xining 810008,China

国家自然科学基金国家自然科学基金国家自然科学基金Natural Science Basic Research Program of Shaanxi ProvinceInnovation Capability Support Program of Shaanxi

1180143812161072121713882023-JC-YB-0582020PT-023

2024

10.1007/s11424-024-2064-0

系统科学与复杂性学报(英文版)
中国科学院系统科学研究所

系统科学与复杂性学报(英文版)

EI
影响因子：0.181
ISSN：1009-6124
年,卷(期)：2024.37(3)
  • 24