Asymptotic and Bootstrap Tests for a Sequential Change-Point of Panel
CHEN Zhuoheng1 , HU Yijun21. School of Mathematical Science, Huaqiao University, Quanzhou 362021, Fujian, China; 2. School of Mathematics and Statistics, Wuhan University, Wuhan 430072, Hubei, China
We design monitoring procedures for the common change-point in a sequential panel data model. An asymptotic method and two new bootstrap methods are proposed to obtain critical values. We establish the asymptotic validity of the proposed bootstrap proce-dures. In simulation studies the empirical test size and the empirical test power values are investigated to show that the three tests are valid and have their own applications. At the same time, the estimations of an unknown change-point are obtained by using the proposed test statistic with these three methods.
Key words:change-point; bootstrap; panel data; cumulative sum estimator; mean shift
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