Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10524909 | Journal of Statistical Planning and Inference | 2013 | 16 Pages |
Abstract
We wish to test the null hypothesis if the means of N panels remain the same during the observation period of length T. A quasi-likelihood argument leads to self-normalized statistics whose limit distribution under the null hypothesis is double exponential. The main results are derived assuming that the each panel is based on independent observations and then extended to linear processes. The proofs are based on an approximation of the sum of squared CUSUM processes using the Skorokhod embedding scheme. A simulation study illustrates that our results can be used in case of small and moderate N and T. We apply our results to detect change in the “corruption index”.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Julian Chan, Lajos Horváth, Marie HuÅ¡ková,