The Limit Distribution of the CUSUM of Square Test Under Genreal MIxing Conditions
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References listed on IDEAS
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Cited by:
- 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, vol. 142(1), pages 212-240, January.
- 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.
- Ai Deng & Pierre Perron, 2007. "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 WP2007-019, Boston University - Department of Economics.
More about this item
Keywords
Change-point; Variance shift; Recursive residuals; Dynamic models; Conditional heteroskedasticity.;JEL classification:
- D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
- D91 - Microeconomics - - Micro-Based Behavioral Economics - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ALL-2006-10-28 (All new papers)
- NEP-ECM-2006-10-28 (Econometrics)
- NEP-FIN-2006-10-28 (Finance)
- NEP-MAC-2006-10-28 (Macroeconomics)
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