Nonparametric test for detecting change in distribution with panel data
نویسندگان
چکیده
This paper considers the problem of comparing two processes with panel data. A nonparametric test is proposed for detecting a monotone change in the link between the two process distributions. The test statistic is of CUSUM type, based on the empirical distribution functions. The asymptotic distribution of the proposed statistic is derived and its finite sample property is examined by bootstrap procedures through Monte Carlo simulations. keywordsnonparametric estimation panel data process
منابع مشابه
A New Diagnostic Test for Cross–Section Independence in Nonparametric Panel Data Models
In this paper, we propose a new diagnostic test for residual cross–section independence in a nonparametric panel data model. The proposed nonparametric cross–section dependence (CD) test is a nonparametric counterpart of an existing parametric CD test proposed in Pesaren (2004) for the parametric case. We establish an asymptotic distribution of the proposed test statistic under the null hypothe...
متن کاملTesting for changes in autocovariances of nonparametric time series models.
In the literature on change-point analysis, much attention has been paid to detecting changes in certain marginal characteristics, such as mean, variance, and marginal distribution. For time series data with nonparametric time trend, we study the change-point problem for the autocovariance structure of the unobservable error process. To derive the asymptotic distribution of the cumulative sum t...
متن کاملA New Diagnostic Test for Cross–Section Uncorrelatedness in Nonparametric Panel Data Models
In this paper, we propose a new diagnostic test for residual cross–section uncorrelatedness in a nonparametric panel data model. The proposed nonparametric cross– section uncorrelatedness (CU) test is a nonparametric counterpart of an existing parametric cross–section dependence (CD) test proposed in Pesaran (2004) for the parametric case. We establish asymptotic distributions of the proposed t...
متن کاملNonparametric Testing for Smooth Structural Changes in Panel Data Models
Detecting and modelling structural changes in time series models have attracted great attention while relatively little effort has been paid to the test of structural changes in panel data models despite their increasing importance in economics and finance. In this paper, we propose a new approach to testing structural changes in panel data models with cross-sectional dependence. The idea is to...
متن کاملSpatial Correlation Testing for Errors in Panel Data Regression Model
To investigate the spatial error correlation in panel regression models, various statistical hypothesizes and testings have been proposed. This paper, within introduction to spatial panel data regression model, existence of spatial error correlation and random effects is investigated by a joint Lagrange Multiplier test, which simultaneously tests their existence. For this purpose, joint Lagrang...
متن کامل