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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 & Kr?mer;, Walter, 1990.
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"Testing for Structural Change in Dynamic Models ,"
Econometrica ,
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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.
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Other versions:
Peter C.B. Phillips & Hyungsik R. Moon, .
"Nonstationary Panel Data Analysis: An Overview of Some Recent Developments ,"
University of California at Santa Barbara, Economics Working Paper Series
17-98, Department of Economics, UC Santa Barbara.
Peter Phillips & Hyungsik Moon, 2000.
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Econometric Reviews ,
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[Downloadable!] (restricted) 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.
Deng, Ai & Perron, Pierre, 2008.
"The Limit Distribution Of The Cusum Of Squares Test Under General Mixing Conditions ,"
Econometric Theory ,
Cambridge University Press, vol. 24(03), pages 809-822, June.
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Other versions: 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: Ploberger, Werner & Kramer, Walter, 1992.
"The CUSUM Test with OLS Residuals ,"
Econometrica ,
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Nigar Hashimzade & Timothy J. Vogelsang, 2008.
"Fixed-b asymptotic approximation of the sampling behaviour of nonparametric spectral density estimators ,"
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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.
Crainiceanu, Ciprian & Vogelsang, Timothy, 2001.
"Spectral Density Bandwidth Choice: Source of Nonmonotonic Power for Tests of a Mean Shift in a Time Series ,"
Working Papers
01-14, Cornell University, Center for Analytic Economics.
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Ploberger, Werner & Kramer, Walter, 1986.
"On studentizing a test for structural change ,"
Economics Letters ,
Elsevier, vol. 20(4), pages 341-344.
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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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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.
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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 ,
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Full
references Cited by : (explanations , 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.)
Pierre Perron & Yohei Yamamoto, 2008.
"On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests ,"
Boston University - Department of Economics - Working Papers Series
wp2008-006, Boston University - Department of Economics.
[Downloadable!]
Dukpa Kim & Pierre Perron, 2006.
"Assessing the Relative Power of Structural Break Tests Using a Framework Based on the Approximate Bahadur Slope ,"
Boston University - Department of Economics - Working Papers Series
WP2006-063, Boston University - Department of Economics.
[Downloadable!]
Other versions: Ted Juhl & Zhijie Xiao, 2008.
"Tests For Changing Mean With Monotonic Power ,"
WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS
200809, University of Kansas, Department of Economics, revised Sep 2008.
[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!]
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