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Alternative boundaries for CUSUM tests

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Author Info

  • Achim Zeileis

Abstract

Performs CUSUM and CUSUMQ tests of the input series, which should be a series of recursive residuals. Brown, Durbin & Evans(1975), "Techniques for Testing the Constancy of Regression Relationships over Time", JRSS-B, vol 37, 149-192. Edgerton & Wells(1994), "Critical Values for the Cusumsq Statistic in Medium and Large Sized Samples," Oxford Bulletin of Economics and Statistics, vol. 56, no 3, 355-365. Zeileis(2004), "Alternative Boundaries for CUSUM tests", Statistical Papers, vol 45

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File URL: http://hdl.handle.net/10.1007/BF02778274
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Bibliographic Info

Article provided by Springer in its journal Statistical Papers.

Volume (Year): 45 (2004)
Issue (Month): 1 (January)
Pages: 123-131

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Handle: RePEc:spr:stpapr:v:45:y:2004:i:1:p:123-131

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Web page: http://www.springer.com/statistics/business/journal/362

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Related research

Keywords: CUSUM test; structural change;

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References

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  1. Zeileis, Achim & Leisch, Friedrich & Hornik, Kurt & Kleiber, Christian, 2001. "Strucchange: An R package for testing for structural change in linear regression models," Technical Reports 2001,26, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  2. Kramer, Walter & Ploberger, Werner & Alt, Raimund, 1988. "Testing for Structural Change in Dynamic Models," Econometrica, Econometric Society, vol. 56(6), pages 1355-69, November.
  3. Ploberger, Werner & Kramer, Walter, 1992. "The CUSUM Test with OLS Residuals," Econometrica, Econometric Society, vol. 60(2), pages 271-85, March.
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Cited by:
  1. Zeileis, Achim & Leisch, Friedrich & Kleiber, Christian & Hornik, Kurt, 2002. "Monitoring structural change in dynamic econometric models," Technical Reports 2002,07, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  2. Makram El-Shagi & Sebastian Giesen, 2013. "Testing for Structural Breaks at Unknown Time: A Steeplechase," Computational Economics, Society for Computational Economics, vol. 41(1), pages 101-123, January.
  3. Goodwin, Barry K. & Piggott, Nicholas E., 2012. "Modeling Acreage Response in a New Market Environment," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124730, Agricultural and Applied Economics Association.
  4. Meligkotsidou, Loukia & Vrontos, Ioannis D., 2008. "Detecting structural breaks and identifying risk factors in hedge fund returns: A Bayesian approach," Journal of Banking & Finance, Elsevier, vol. 32(11), pages 2471-2481, November.
  5. Zeileis, Achim, 2006. "Implementing a class of structural change tests: An econometric computing approach," Computational Statistics & Data Analysis, Elsevier, vol. 50(11), pages 2987-3008, July.

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