Abstract
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 language | English |
|---|---|
| Pages (from-to) | 802-821 |
| Number of pages | 20 |
| Journal | Journal of the Korean Statistical Society |
| Volume | 49 |
| Issue number | 3 |
| DOIs | |
| State | Published - 1 Sep 2020 |
Bibliographical 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:
© 2020, Korean Statistical Society.
Keywords
- Bootstrap test
- Circular block bootstrapping
- Cross-sectional dependence
- Panel mean break
- Serial dependence
- Stationary bootstrapping