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A Modification of the CUSUM Test in the Linear Regression Model with Lagged Dependent Variables

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  • Ploberger, W
  • Kramer, W
  • Alt, R

Abstract

We 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.

Suggested Citation

  • 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.
    • Handle: RePEc:spr:empeco:v:14:y:1989:i:2:p:65-75
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    Cited by:

    1. Jushan Bai, 1994. "Least Squares Estimation Of A Shift In Linear Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 15(5), pages 453-472, September.
    2. 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.
    3. 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.
    4. Luger, Richard, 2001. "A modified CUSUM test for orthogonal structural changes," Economics Letters, Elsevier, vol. 73(3), pages 301-306, December.

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