A modification of the CUSUM test in the linear regression model with lagged dependent variables
AbstractWe consider testing for structural change in a dynamic linear regression model, and show that the well known CUSUM test, which has been initially devised only for the standard static model, can easily be modified such as to remain asymptotically valid also in this nonstandard situation.
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Bibliographic InfoPaper provided by Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät in its series Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Leibniz Universität Hannover with number dp-104.
Length: 15 pages
Date of creation: Jun 1987
Date of revision:
Other versions of this item:
- Ploberger, W & Kramer, W & Alt, R, 1989. "A Modification of the CUSUM Test in the Linear Regression Model with Lagged Dependent Variables," Empirical Economics, Springer, vol. 14(2), pages 65-75.
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- 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.
- 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.
- Luger, Richard, 2001. "A modified CUSUM test for orthogonal structural changes," Economics Letters, Elsevier, vol. 73(3), pages 301-306, December.
- Bai, Jushan, 1993. "Least squares estimation of a shift in linear processes," MPRA Paper 32878, University Library of Munich, Germany.
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