Block Length Choice for the Bootstrap of Dependent Panel Data -- a\n Comment on Choi and Shin (2020)

2021/03/22 by Lea Wegner, Wegner, Lea, Martin Wendler +1
Economics, Econometrics and Finance · Mathematics · #062F40 #62H15 #FOS: Computer and information sciences #Methodology (stat.ME) #Monetary Policy and Economic Impact #Spatial and Panel Data Analysis #Statistical Methods and Inference

paper · pdf · doi:10.48550/arxiv.2103.11805

openalex publication_date 2021/03/22 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

Choi and Shin (2020) have constructed a bootstrap-based test for\nchange-points in panels with temporal and and/or cross-sectional dependence.\nThey have compared their test to several other proposed tests. We demonstrate\nthat by an appropriate, data-adaptive choice of the block length, the\nchange-point test by Sharipov, Tewes, Wendler (2016) can at least cope with\nmild temporal dependence, the size distortion of this test is not as severe as\nclaimed by Choi and Shin (2020).\n

Related

• Inference in dynamic models for panel data using the moving block bootstrap
• Change Point in Panel Data with Small Fixed Panel Size: Ratio and Non-Ratio Test Statistics
• Testing Structural Changes in Panel Data with Small Fixed Panel Size and Bootstrap
• Robust change-point detection in panel data
• On blocking rules for the bootstrap with dependent data