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Mosum Tests for Parameter Constancy

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Author Info

  • Chu, C.S.J.
  • Hornik, K.
  • Kuan, C.M.

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Bibliographic Info

Paper provided by Southern California - Department of Economics in its series Papers with number 9319.

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Length: 29 pages
Date of creation: 1993
Date of revision:
Handle: RePEc:fth:socaec:9319

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Postal: UNIVERSITY OF SOUTHERN CALIFORNIA, DEPARTMENT OF ECONOMICS, UNIVERSITY PARK LOS ANGELES CALIFORNIA 90089-0152 U.S.A.
Phone: (213) 740-8335
Fax: (213) 740-8543
Web page: http://www.usc.edu/dept/LAS/economics/
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Keywords: econometrics;

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Cited by:
  1. Pierre Perron & Tomoyoshi Yabu, 2005. "Estimating Deterministric Trends with an Integrated or Stationary Noise Component," Boston University - Department of Economics - Working Papers Series WP2005-037, Boston University - Department of Economics.
  2. Raffaella Giacomini & Barbara Rossi, 2010. "Forecast comparisons in unstable environments," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 595-620.
  3. Ai Deng & Pierre Perron, 2005. "A Non-local Perspective on the Power Properties of the CUSUM and CUSUM of Squares Tests for Structural Change," Boston University - Department of Economics - Working Papers Series WP2005-047, Boston University - Department of Economics.
  4. Heinen, Florian & Willert, Juliane, 2011. "Monitoring a change in persistence of a long range dependent time series," Hannover Economic Papers (HEP) dp-479, Leibniz Universit├Ąt Hannover, Wirtschaftswissenschaftliche Fakult├Ąt.
  5. Jamel Jouini, 2010. "Bootstrap methods for single structural change tests: power versus corrected size and empirical illustration," Statistical Papers, Springer, vol. 51(1), pages 85-109, January.

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