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Testing change in volatility using panel data

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  • Shi, Yutang

Abstract

The focus of this paper is to test the possible changes in the volatility of panel data. The test statistic is derived from a likelihood argument and it is based on the CUSUM method. Asymptotic distribution is derived under the no change null hypothesis and the consistency of the test is also established. Monte Carlo simulation shows the effectiveness and improvement of the proposed procedure over some of the existing testing procedures.

Suggested Citation

  • Shi, Yutang, 2015. "Testing change in volatility using panel data," Economics Letters, Elsevier, vol. 134(C), pages 107-110.
    • Handle: RePEc:eee:ecolet:v:134:y:2015:i:c:p:107-110
    DOI: 10.1016/j.econlet.2015.06.016
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    References listed on IDEAS

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    1. Bai, Jushan, 2010. "Common breaks in means and variances for panel data," Journal of Econometrics, Elsevier, vol. 157(1), pages 78-92, July.
    2. Li, Fuxiao & Tian, Zheng & Xiao, Yanting & Chen, Zhanshou, 2015. "Variance change-point detection in panel data models," Economics Letters, Elsevier, vol. 126(C), pages 140-143.
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    Cited by:

    1. Eunju Hwang & Dong Wan Shin, 2017. "Stationary bootstrapping for common mean change detection in cross-sectionally dependent panels," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 80(6), pages 767-787, November.

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