Variance change-point detection in panel data models
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DOI: 10.1016/j.econlet.2014.12.005
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References listed on IDEAS
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Cited by:
- Shi, Yutang, 2015. "Testing change in volatility using panel data," Economics Letters, Elsevier, vol. 134(C), pages 107-110.
- Eunju Hwang & Dong Wan Shin, 2017. "Stationary bootstrapping for common mean change detection in cross-sectionally dependent panels," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 80(6), pages 767-787, November.
- Shuaimin Kang & Guangying Liu & Howard Qi & Min Wang, 2018. "Bayesian Variance Changepoint Detection in Linear Models with Symmetric Heavy-Tailed Errors," Computational Economics, Springer;Society for Computational Economics, vol. 52(2), pages 459-477, August.
- Qin, Ruibing & Ma, Junjie, 2018. "An efficient algorithm to estimate the change in variance," Economics Letters, Elsevier, vol. 168(C), pages 15-17.
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More about this item
Keywords
Panel data models; Common variance change-point; CUSUM-based statistic;All these keywords.
JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
Statistics
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