Advanced Search
MyIDEAS: Login to save this paper or follow this series

The Limit Distribution of the CUSUM of Squares Test Under General Mixing Conditions

Contents:

Author Info

  • Ai Deng

    ()
    (Bates White, LLC)

  • Pierre Perron

    ()
    (Department of Economics, Boston University)

Abstract

We consider the CUSUM of squares test in a linear regression model with general mixing assumptions on the regressors and the errors. We derive its limit distribution and show how it depends on the nature of the error process. We suggest a corrected version that has a limit distribution free of nuisance parameters. We also discuss how it provides an improvement over the standard approach to testing for a change in the variance in a univariate times series. Simulation evidence is presented to support this.

Download Info

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Bibliographic Info

Paper provided by Boston University - Department of Economics in its series Boston University - Department of Economics - Working Papers Series with number wp2006-004.

as in new window
Length: 13 pages
Date of creation: Nov 2006
Date of revision:
Handle: RePEc:bos:wpaper:wp2006-004

Contact details of provider:
Postal: 270 Bay State Road, Boston, MA 02215
Phone: 617-353-4389
Fax: 617-353-444
Web page: http://www.bu.edu/econ/
More information through EDIRC

Related research

Keywords: Change-point; Variance shift; Recursive residuals; Dynamic models; Conditional heteroskedasticity.;

Other versions of this item:

References

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.:
as in new window
  1. James H. Stock & Mark W. Watson, 2003. "Has the Business Cycle Changed and Why?," NBER Chapters, in: NBER Macroeconomics Annual 2002, Volume 17, pages 159-230 National Bureau of Economic Research, Inc.
  2. Ploberger, Werner & Kramer, Walter, 1986. "On studentizing a test for structural change," Economics Letters, Elsevier, vol. 20(4), pages 341-344.
  3. repec:att:wimass:9208 is not listed on IDEAS
  4. Perron, P. & Bai, J., 1995. "Estimating and Testing Linear Models with Multiple Structural Changes," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ 9552, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  5. Cavaliere, Giuseppe & Taylor, A.M. Robert, 2007. "Testing for unit roots in time series models with non-stationary volatility," Journal of Econometrics, Elsevier, Elsevier, vol. 140(2), pages 919-947, October.
  6. Loretan, Mico & Phillips, Peter C. B., 1994. "Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets," Journal of Empirical Finance, Elsevier, Elsevier, vol. 1(2), pages 211-248, January.
  7. Pagan, Adrian R. & Schwert, G. William, 1990. "Testing for covariance stationarity in stock market data," Economics Letters, Elsevier, vol. 33(2), pages 165-170, June.
  8. Donald W.K. Andrews & Christopher J. Monahan, 1990. "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," Cowles Foundation Discussion Papers 942, Cowles Foundation for Research in Economics, Yale University.
  9. Hansen, Bruce E., 1992. "Convergence to Stochastic Integrals for Dependent Heterogeneous Processes," Econometric Theory, Cambridge University Press, vol. 8(04), pages 489-500, December.
  10. Ploberger, Werner & Krämer;, Walter, 1990. "The Local Power of the CUSUM and CUSUM of Squares Tests," Econometric Theory, Cambridge University Press, vol. 6(03), pages 335-347, September.
  11. Sangyeol Lee & Jeongcheol Ha & Okyoung Na & Seongryong Na, 2003. "The Cusum Test for Parameter Change in Time Series Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 30(4), pages 781-796.
  12. Andreu Sansó & Vicent Aragó & Josep Lluís Carrion, 2003. "Testing for Changes in the Unconditional Variance of Financial Time Series," DEA Working Papers, Universitat de les Illes Balears, Departament d'Economía Aplicada 5, Universitat de les Illes Balears, Departament d'Economía Aplicada.
  13. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, Econometric Society, vol. 59(3), pages 817-58, May.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Deng, Ai & Perron, Pierre, 2008. "A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change," Journal of Econometrics, Elsevier, Elsevier, vol. 142(1), pages 212-240, January.
  2. Sensoy, Ahmet, 2013. "Dynamic relationship between precious metals," Resources Policy, Elsevier, Elsevier, vol. 38(4), pages 504-511.
  3. Sahbi FARHANI, 2012. "Tests of Parameters Instability: Theoretical Study and Empirical Analysis on Two Types of Models (ARMA Model and Market Model)," International Journal of Economics and Financial Issues, Econjournals, vol. 2(3), pages 246-266.
  4. Nielsen, Bent & Sohkanen, Jouni S., 2011. "Asymptotic Behavior Of The Cusum Of Squares Test Under Stochastic And Deterministic Time Trends," Econometric Theory, Cambridge University Press, vol. 27(04), pages 913-927, August.
  5. Jing Zhou & Pierre Perron, 2008. "Testing for Breaks in Coefficients and Error Variance: Simulations and Applications," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics wp2008-010, Boston University - Department of Economics.
  6. Paulo M.M. Rodrigues & Antonio Rubia, 2010. "The Effects of Additive Outliers and Measurement Errors when Testing for Structural Breaks in Variance," Working Papers w201011, Banco de Portugal, Economics and Research Department.
  7. Xu, Ke-Li, 2013. "Power monotonicity in detecting volatility levels change," Economics Letters, Elsevier, vol. 121(1), pages 64-69.
  8. Loredana Ureche-Rangau & Franck Speeg, 2011. "A simple method for variance shift detection at unknown time points," Economics Bulletin, AccessEcon, vol. 31(3), pages 2204-2218.
  9. Perron, Pierre & Yabu, Tomoyoshi, 2009. "Estimating deterministic trends with an integrated or stationary noise component," Journal of Econometrics, Elsevier, Elsevier, vol. 151(1), pages 56-69, July.
  10. Hsu, Chih-Chiang, 2007. "The MOSUM of squares test for monitoring variance changes," Finance Research Letters, Elsevier, Elsevier, vol. 4(4), pages 254-260, December.
  11. Xu, Ke-Li, 2013. "Powerful tests for structural changes in volatility," Journal of Econometrics, Elsevier, Elsevier, vol. 173(1), pages 126-142.
  12. Pierre Perron & Tatsushi Oka, 2011. "Testing for Common Breaks in a Multiple Equations System," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics WP2011-057, Boston University - Department of Economics.
  13. Xu, Ke-Li, 2008. "Testing against nonstationary volatility in time series," Economics Letters, Elsevier, vol. 101(3), pages 288-292, December.
  14. Pierre Perron & Jing Zhou, 2008. "Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics wp2008-011, Boston University - Department of Economics.
  15. Stanislav Anatolyev & Grigory Kosenok, 2011. "Sequential Testing with Uniformly Distributed Size," Working Papers w0123, Center for Economic and Financial Research (CEFIR).

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:bos:wpaper:wp2006-004. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Gillian Gurish).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.