Related papers: Panel Data Unit Root testing: Overview
Panel data of our interest consist of a moderate or relatively large number of panels, while the panels contain a small number of observations. This paper establishes testing procedures to detect a possible common change in means of the…
New procedures for detecting a change in the cross-sectional mean of panel data are proposed. The procedures rely on estimating nuisance parameters using certain cross-sectional means across panels using a weighted least squares regression.…
This paper derives several novel tests to improve on the t-test for testing AR(1) coefficients of panel time series, i.e., of multiple time series, when each has a small number of observations. These tests can determine the acceptance or…
In this paper, a unified approach is proposed to derive the exact local asymptotic power for panel unit root tests, which is one of the most important issues in nonstationary panel data literature. Two most widely used panel unit root tests…
A unit root test is proposed for time series with a general nonlinear deterministic trend component. It is shown that asymptotically the pooled OLS estimator of overlapping blocks filters out any trend component that satisfies some…
Testing for stability in linear panel data models has become an important topic in both the statistics and econometrics research communities. The available methodologies address testing for changes in the mean/linear trend, or testing for…
This paper proposes a model-free approach to analyze panel data with heterogeneous dynamic structures across observational units. We first compute the sample mean, autocovariances, and autocorrelations for each unit, and then estimate the…
This paper deals with unit root issues in time series analysis. It has been known for a long time that unit root tests may be flawed when a series although stationary has a root close to unity. That motivated recent papers dedicated to…
This paper revisits the Lagrange multiplier type test for the null hypothesis of no cross-sectional dependence in large panel data models. We propose a unified test procedure and its power enhancement version, which show robustness for a…
The main goal is to develop and, consequently, compare stochastic methods for detection whether a structural change in panel data occurred at some unknown time or not. Panel data of our interest consist of a moderate or relatively large…
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…
In panel data we observe a usually high number N of individuals over a time period T. Even if T is large one often assumes stability of the model over time. We propose a nonparametric and robust test for a change in location and derive its…
In unit root testing, a piecewise locally stationary process is adopted to accommodate nonstationary errors that can have both smooth and abrupt changes in second- or higher-order properties. Under this framework, the limiting null…
Unit testing has been considered as having a key role in building high quality software, and therefore it has been widely used in practice. However, data on the relationship between unit testing and aspects of software quality remain…
Functional panels are collections of functional time series, and arise often in the study of high frequency multivariate data. We develop a portmanteau style test to determine if the cross-sections of such a panel are independent and…
With the rapid advancement of information technology, the complexity of applications continues to increase, and the cybersecurity challenges we face are also escalating. This paper aims to investigate the methods and practices of system…
Empirical researchers often use slope-homogeneity tests to assess whether slopes can be treated as common across units. A key difficulty is that heterogeneity may be concentrated in a small number of units, so that a failure to reject…
The presence of outlying observations may adversely affect statistical testing procedures that result in unstable test statistics and unreliable inferences depending on the distortion in parameter estimates. In spite of the fact that the…
Three candidate approaches for univariate sumcheck over roots of unity are presented. The first takes the form of a multilinear evaluation protocol, which can be combined with the standard multivariate sumcheck protocol. The other two are…
The noise of a device under test (DUT) is measured simultaneously with two instruments, each of which contributes its own background. The average cross power spectral density converges to the DUT power spectral density. This method enables…