Stationary bootstrapping for common mean change detection in cross-sectionally dependent panels
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Hwang, Eunju | - |
dc.contributor.author | Shin, Dong Wan | - |
dc.date.available | 2020-02-27T16:43:19Z | - |
dc.date.created | 2020-02-06 | - |
dc.date.issued | 2017-11 | - |
dc.identifier.issn | 0026-1335 | - |
dc.identifier.uri | https://scholarworks.bwise.kr/gachon/handle/2020.sw.gachon/5520 | - |
dc.description.abstract | Stationary bootstrapping is applied to a CUSUM test for common mean break detection in cross-sectionally correlated panel data. Asymptotic null distribution of the bootstrapped test is derived, which is the same as that of the original CUSUM test depending on cross-sectional correlation parameter. A bootstrap test using the CUSUM test with bootstrap critical values is proposed and its asymptotic validity is proved. Finite sample Monte-Carlo simulation shows that the proposed test has reasonable size while other existing tests have severe size distortion under cross-section correlation. The simulation also shows good power performance of the proposed test against non-cancelling mean changes. The simulation also shows that the theoretically justified stationary bootstrapping CUSUM test has comparable size and power relative to other, theoretically unjustified, moving block or tapered block bootstrapping CUSUM tests. | - |
dc.language | 영어 | - |
dc.language.iso | en | - |
dc.publisher | SPRINGER HEIDELBERG | - |
dc.relation.isPartOf | METRIKA | - |
dc.subject | UNIT-ROOT TESTS | - |
dc.subject | SEQUENCES | - |
dc.subject | MODELS | - |
dc.title | Stationary bootstrapping for common mean change detection in cross-sectionally dependent panels | - |
dc.type | Article | - |
dc.type.rims | ART | - |
dc.description.journalClass | 1 | - |
dc.identifier.wosid | 000413764300010 | - |
dc.identifier.doi | 10.1007/s00184-017-0627-y | - |
dc.identifier.bibliographicCitation | METRIKA, v.80, no.6-8, pp.767 - 787 | - |
dc.identifier.scopusid | 2-s2.0-85031935452 | - |
dc.citation.endPage | 787 | - |
dc.citation.startPage | 767 | - |
dc.citation.title | METRIKA | - |
dc.citation.volume | 80 | - |
dc.citation.number | 6-8 | - |
dc.contributor.affiliatedAuthor | Hwang, Eunju | - |
dc.type.docType | Article | - |
dc.subject.keywordAuthor | Bootstrap test | - |
dc.subject.keywordAuthor | Common panel mean change | - |
dc.subject.keywordAuthor | Cross-section correlation | - |
dc.subject.keywordAuthor | Size distortion | - |
dc.subject.keywordAuthor | Stationary bootstrapping | - |
dc.subject.keywordPlus | UNIT-ROOT TESTS | - |
dc.subject.keywordPlus | SEQUENCES | - |
dc.subject.keywordPlus | MODELS | - |
dc.relation.journalResearchArea | Mathematics | - |
dc.relation.journalWebOfScienceCategory | Statistics & Probability | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | scopus | - |
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.
1342, Seongnam-daero, Sujeong-gu, Seongnam-si, Gyeonggi-do, Republic of Korea(13120)031-750-5114
COPYRIGHT 2020 Gachon University All Rights Reserved.
Certain data included herein are derived from the © Web of Science of Clarivate Analytics. All rights reserved.
You may not copy or re-distribute this material in whole or in part without the prior written consent of Clarivate Analytics.