Block Length Choice for the Bootstrap of Dependent Panel Data -- a Comment on Choi and Shin (2020)
Abstract
Choi and Shin (2020) have constructed a bootstrap-based test for change-points in panels with temporal and and/or cross-sectional dependence. They have compared their test to several other proposed tests. We demonstrate that by an appropriate, data-adaptive choice of the block length, the change-point test by Sharipov, Tewes, Wendler (2016) can at least cope with mild temporal dependence, the size distortion of this test is not as severe as claimed by Choi and Shin (2020).
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