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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.

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Detection Changes in a Linear Dynamic Panel Data Model

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  • 发表日期：

    2026年

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  • Zuzana Prášková

摘要

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.