A new hybrid approach to panel data change point detection

Change point in a panel data refers to the time when a change(s) takes a place in the cross-sections of the panel. This key time helps practitioners to analyze the root cause(s) of the change manifested itself to the process. This paper attempts to introduce a new hybrid approach called Double-CUSUM-Modified EWMA (DCME) which is capable of providing a high sensitivity of detecting the change point in a panel data. The step change analysis of...