A CUSUM test for panel mean change detection

Dong Wan Shin; Eunju Hwang

doi:10.1016/j.jkss.2016.06.003

A CUSUM test for panel mean change detection

Dong Wan Shin, Eunju Hwang

Department of Statistics

Research output: Contribution to journal › Article › peer-review

11 Scopus citations

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.

Original language	English
Pages (from-to)	70-77
Number of pages	8
Journal	Journal of the Korean Statistical Society
Volume	46
Issue number	1
DOIs	https://doi.org/10.1016/j.jkss.2016.06.003
State	Published - 1 Mar 2017

Bibliographical note

Publisher Copyright:
© 2016

Keywords

Average change
CUSUM
Mean change
Panel model
Squared CUSUM

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10.1016/j.jkss.2016.06.003

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title = "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.",

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AB - 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.

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KW - Squared CUSUM

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A CUSUM test for panel mean change detection

Abstract

Bibliographical note

Keywords

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