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Detection Changes in a Linear Dynamic Panel Data Model

In: Asymptotic and Methodological Statistics

Author

Listed:
  • Zuzana Prášková

    (Charles University, Department of Probability and Mathematical Statistics, Faculty of Mathematics and Physics)

Abstract

In this paper we provide some asymptotic results concerning the detection of a change in a set of panel data, where we assume cross-sectional independence between panels but serially correlated observations. Especially, we assume that observations follow independent autoregressive models of order p and their coefficients can change. The test is based on an aggregate CUSUM statistic.

Suggested Citation

  • Zuzana Prášková, 2026. "Detection Changes in a Linear Dynamic Panel Data Model," Springer Books, in: Daniel Hlubinka & Šárka Hudecová & Matúš Maciak & Michal Pešta (ed.), Asymptotic and Methodological Statistics, chapter 0, pages 197-216, Springer.
    • Handle: RePEc:spr:sprchp:978-3-032-07178-1_10
    DOI: 10.1007/978-3-032-07178-1_10
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