Detecting Variance Change-Points for Blocked Time Series and Dependent Panel Data
Author:
Affiliation:
1. Guanghua School of Management Peking University, Beijing, 100871, China
2. Department of Statistics and Probability Michigan State University, East Lansing, 48824, MI
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/07350015.2015.1026438
Reference43 articles.
1. Common breaks in means and variances for panel data
2. On the Estimation and Testing of Fixed Effects Panel Data Models with Weak Instruments
3. A Bayesian approach to retrospective identification of change-points
4. Basic Properties of Strong Mixing Conditions. A Survey and Some Open Questions
5. Testing and Locating Variance Changepoints with Application to Stock Prices
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