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A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change

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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:212-240

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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.:
  1. Ploberger, Werner & Kramer, Walter, 1992. "The CUSUM Test with OLS Residuals," Econometrica, Econometric Society, vol. 60(2), pages 271-85, March. [Downloadable!] (restricted)
  2. repec:cup:etheor:v:6:y:1990:i:3:p:335-47 is not listed on IDEAS
  3. Chung-Ming Kuan & Kurt Hornik, 1995. "The generalized fluctuation test: A unifying view," Econometric Reviews, Taylor and Francis Journals, vol. 14(2), pages 135-161. [Downloadable!] (restricted)
  4. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-58, May. [Downloadable!] (restricted)
    Other versions:
  5. Kramer, Walter & Ploberger, Werner & Alt, Raimund, 1988. "Testing for Structural Change in Dynamic Models," Econometrica, Econometric Society, vol. 56(6), pages 1355-69, November. [Downloadable!] (restricted)
  6. Peter C.B. Phillips & Hyungsik R. Moon, 1999. "Nonstationary Panel Data Analysis: An Overview of Some Recent Developments," Cowles Foundation Discussion Papers 1221, Cowles Foundation, Yale University. [Downloadable!]
    Other versions:
  7. Chu, C.S.J. & Hornik, K. & Kuan, C.M., 1993. "Mosum Tests for Parameter Constancy," Papers 9319, Southern California - Department of Economics.
  8. Ploberger, Werner & Kramer, Walter, 1986. "On studentizing a test for structural change," Economics Letters, Elsevier, vol. 20(4), pages 341-344. [Downloadable!] (restricted)
  9. 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. [Downloadable!] (restricted)
  10. Pierre Perron, 2005. "Dealing with Structural Breaks," Boston University - Department of Economics - Working Papers Series WP2005-017, Boston University - Department of Economics. [Downloadable!]
  11. 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.
  12. 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!]
  13. 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!]
  14. 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:
  15. 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.
  16. 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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  1. 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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