Block bootstrapping for a panel mean break test

Ji Eun Choi, Dong Wan Shin

Research output: Contribution to journalArticlepeer-review


We consider block bootstrappings for panel mean change test of the squared CUSUM test of Horváth and Hušková (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 Horváth and Hušková (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.

Original languageEnglish
Pages (from-to)802-821
Number of pages20
JournalJournal of the Korean Statistical Society
Issue number3
StatePublished - 1 Sep 2020


  • Bootstrap test
  • Circular block bootstrapping
  • Cross-sectional dependence
  • Panel mean break
  • Serial dependence
  • Stationary bootstrapping


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