面板数据下序贯模型变点的渐近检验法
THE ASYMPTOTIC METHOD OF SEQUENTIAL CHANGE-POINT IN PANEL DATA

本文研究了面板数据模型下变点是否存在的检验问题.对于面板序贯模型下的变点，利用构造的检验统计量及其极限分布的方法，获得了关于变点的一种渐近检验法.随后进行Monte-Carlo数值模拟，在模拟中对检验方法的经验检验水平、检验功效以及变点后的停时三个判断标准进行了考察.结果显示无论在理论还是数值模拟上，我们提出的渐近检验法均表现优良.推广了现有文献的关于单序列变点的序贯检验方法.
In this paper, we study the statistical inference of change-point for panel data. For the change-point in a sequential panel data model, using the test statistic and the limiting distribution, we obtain an asymptotic method of change-point. Then we make a Monte-Carlo simulation, in the simulation, we investigate the effectiveness of our test method from three aspects:empirical test size, test power and average run length. Both the theory results and the Monte-Carlo simulation show that the asymptotic method we obtained is very excellent, in addition, the existing sequential method about the change-point in univariate sequence is generalized