A CUSUM test for panel mean change detection

摘要

The role played by structural change problems in panel data models is useful in analyzing the economic or financial data that are available in vast amount. There have been some recent studies on structural change detection problems in mean and variance of panel data. There are some studies on panel mean change detection using the squared CUSUM of the panel processes as well. Using CUSUM and squared CUSUM, tests for detecting panel variance changes have also been developed in the literature. Taking into consideration the problem of detecting panel average change rather than average squared change, a simple panel mean change detection test is constructed based on the CUSUM of the panel processes. The panel mean change detection problem is discussed in detail and the related main theoretical results are presented. Simulations are conducted and the numerical results are used for comparisons. A real data set is used to illustrate application of the proposed approach.