Variance change-point detection in panel data models

•We extend the CUSUM-based statistic in Horváth and Hus˘ková (2012) to the variance shift panel data models.•Asymptotic distribution is derived under the null hypothesis and the consistency of the test is proven under the alternative.•We provide Monte Carlo evidence of the good small sample performance of this statistic.

This paper proposes a cumulative sum (CUSUM) based statistic to test if there is a common variance change-point in panel data models. Asymptotic distribution is derived under the null hypothesis and the consistency of the test is proven under the alternative hypothesis. Monte Carlo experiment is carried out to show the effectiveness of the proposed procedure.