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A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change Author info | Abstract | Publisher info | Download info | Related research | Statistics Deng, Ai
Perron, Pierre
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Article provided by Elsevier in its journal Journal of Econometrics .
Volume (Year): 142 (2008)
Issue (Month): 1 (January)
Pages: 212-240
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Handle: RePEc:eee:econom:v:142:y:2008:i:1:p:212-240Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom
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References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Ploberger, Werner & Kramer, Walter, 1992.
"The CUSUM Test with OLS Residuals ,"
Econometrica ,
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Other versions: Kramer, Walter & Ploberger, Werner & Alt, Raimund, 1988.
"Testing for Structural Change in Dynamic Models ,"
Econometrica ,
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Peter C.B. Phillips & Hyungsik R. Moon, 1999.
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Cowles Foundation Discussion Papers
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Other versions: Chu, C.S.J. & Hornik, K. & Kuan, C.M., 1993.
"Mosum Tests for Parameter Constancy ,"
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9319, Southern California - Department of Economics.
Ploberger, Werner & Kramer, Walter, 1986.
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Vogelsang, Timothy J., 1998.
"Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series ,"
Journal of Econometrics ,
Elsevier, vol. 88(2), pages 283-299, November.
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Pierre Perron, 2005.
"Dealing with Structural Breaks ,"
Boston University - Department of Economics - Working Papers Series
WP2005-017, Boston University - Department of Economics.
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Perron, P., 1991.
"A Test for Changes in a Polynomial Trend Functions for a Dynamioc Time Series ,"
Papers
363, Princeton, Department of Economics - Econometric Research Program.
Ai Deng & Pierre Perron, 2006.
"The Limit Distribution of the CUSUM of Squares Test Under General Mixing Conditions ,"
Boston University - Department of Economics - Macroeconomics Working Papers Series
WP2006-004, Boston University - Department of Economics.
[Downloadable!]
Ai Deng & Pierre Perron, 2005.
"The Limit Distribution of the CUSUM of Square Test Under Genreal MIxing Conditions ,"
Boston University - Department of Economics - Working Papers Series
WP2005-046, Boston University - Department of Economics.
[Downloadable!]
Perron, Pierre, 1990.
"Testing for a Unit Root in a Time Series with a Changing Mean ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 8(2), pages 153-62, April.
Other versions: Chu, Chia-Shang James & White, Halbert, 1992.
"A Direct Test for Changing Trend ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 10(3), pages 289-99, July.
Ploberger, Werner & Kramer, Walter & Kontrus, Karl, 1989.
"A new test for structural stability in the linear regression model ,"
Journal of Econometrics ,
Elsevier, vol. 40(2), pages 307-318, February.
[Downloadable!] (restricted)
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Ai Deng & Pierre Perron, 2005.
"The Limit Distribution of the CUSUM of Square Test Under Genreal MIxing Conditions ,"
Boston University - Department of Economics - Working Papers Series
WP2005-046, Boston University - Department of Economics.
[Downloadable!]
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