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

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Listed:
  • 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.

Suggested Citation

  • Ai Deng & Pierre Perron, 2006. "The Limit Distribution of the CUSUM of Squares Test Under General Mixing Conditions," Boston University - Department of Economics - Working Papers Series wp2006-004, Boston University - Department of Economics.
    • Handle: RePEc:bos:wpaper:wp2006-004
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