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On CUSUM test for dynamic panel models

Author

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  • Minyoung Jo

    (Seoul National University)

  • Sangyeol Lee

    (Seoul National University)

Abstract

In this study, we consider the problem of testing for a parameter change in dynamic panel models with fixed effects. As a test, we suggest using the CUSUM test based on the score vectors and show that under regularity conditions, the test converges weakly to the supremum of a Gaussian process. The test is then compared with the location-scale CUSUM (LSCUSUM) test through Monte Carlo simulation, showing its superiority to the LSCUSUM test. We also conduct a real data analysis using the real energy consumption data of OECD countries along with their GDPs for illustration.

Suggested Citation

  • Minyoung Jo & Sangyeol Lee, 2021. "On CUSUM test for dynamic panel models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 30(2), pages 515-542, June.
    • Handle: RePEc:spr:stmapp:v:30:y:2021:i:2:d:10.1007_s10260-020-00533-7
    DOI: 10.1007/s10260-020-00533-7
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