A CUSUM test for panel mean change detection

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.