@article{4e318f0b25c74cb0a1be128e8f1f510e,
title = "Block bootstrapping for a panel mean break test",
abstract = "We consider block bootstrappings for panel mean change test of the squared CUSUM test of Horv{\'a}th and Hu{\v s}kov{\'a} (J Time Ser Anal 33:631–648, 2012): the circular block bootstrapping and stationary bootstrapping. First order asymptotic null validity of the test is proved under serial and/or cross-sectional correlation. Consistency of the test under an alternative hypothesis is also proved. A Monte-Carlo experiment reveals that the existing tests of Horv{\'a}th and Hu{\v s}kov{\'a} (2012) and others have severe size distortions for serially and/or cross-sectionally correlated panels, and the block bootstrappings remedy this size distortion problem. A real data analysis illustrates the proposed method.",
keywords = "Bootstrap test, Circular block bootstrapping, Cross-sectional dependence, Panel mean break, Serial dependence, Stationary bootstrapping",
author = "Choi, {Ji Eun} and Shin, {Dong Wan}",
note = "Funding Information: The authors are very thankful of the constructive comments of the two anonymous referees. This study was supported by a grant from the National Research Foundation of Korea (2019R1A2C1004679) and by Basic Science Research Program through the National Research Foundation of Korea (NRF) funded by the Ministry of Education (2019R1A6A1A11051177). Funding Information: The authors are very thankful of the constructive comments of the two anonymous referees. This study was supported by a grant from the National Research Foundation of Korea (2019R1A2C1004679) and by Basic Science Research Program through the National Research Foundation of Korea (NRF) funded by the Ministry of Education (2019R1A6A1A11051177). Publisher Copyright: {\textcopyright} 2020, Korean Statistical Society.",
year = "2020",
month = sep,
day = "1",
doi = "10.1007/s42952-019-00034-8",
language = "English",
volume = "49",
pages = "802--821",
journal = "Journal of the Korean Statistical Society",
issn = "1226-3192",
publisher = "Korean Statistical Society",
number = "3",
}