A CUSUM test for panel mean change detection

Dong Wan Shin, Eunju Hwang

Research output: Contribution to journalArticlepeer-review

11 Scopus citations


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.

Original languageEnglish
Pages (from-to)70-77
Number of pages8
JournalJournal of the Korean Statistical Society
Issue number1
StatePublished - 1 Mar 2017

Bibliographical note

Publisher Copyright:
© 2016


  • Average change
  • Mean change
  • Panel model
  • Squared CUSUM


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