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On CUSUM test for dynamic panel models
Statistical Methods & Applications ( IF 1 ) Pub Date : 2020-07-09 , DOI: 10.1007/s10260-020-00533-7
Minyoung Jo , Sangyeol Lee

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.



中文翻译:

在动态面板模型的CUSUM测试中

在这项研究中,我们考虑在具有固定效果的动态面板模型中测试参数变化的问题。作为测试,我们建议使用基于得分向量的CUSUM测试,并表明在规则条件下,该测试弱收敛至高斯过程的极值。然后通过蒙特卡洛模拟将该测试与位置比例尺CUSUM(LSCUSUM)测试进行比较,显示其优于LSCUSUM测试。我们还使用OECD国家的真实能源消耗数据及其GDP进行了真实数据分析,以进行说明。

更新日期:2020-07-24
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