Li, Fuxiao; Tian, Zheng; Xiao, Yanting; Chen, Zhanshou - In: Economics Letters 126 (2015) C, pp. 140-143
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...