Autori
Lee, Sangyeol
Jo, Minyoung

Titolo
On CUSUM test for dynamic panel models
Periodico
Statistical methods & applications : Journal of the Italian Statistical Society
Anno: 2021 - Volume: 30 - Fascicolo: 2 - Pagina iniziale: 515 - Pagina finale: 542

In this study, we consider the problem of testing for a parameter change in dynamic panel models with fixed effects. As a test, we suggest using the CUSUM test based on the score vectors and show that under regularity conditions, the test converges weakly to the supremum of a Gaussian process. The test is then compared with the location-scale CUSUM (LSCUSUM) test through Monte Carlo simulation, showing its superiority to the LSCUSUM test. We also conduct a real data analysis using the real energy consumption data of OECD countries along with their GDPs for illustration.



SICI: 1618-2510(2021)30:2<515:OCTFDP>2.0.ZU;2-D

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