A Non-local Perspective on the Power Properties of the CUSUM and CUSUM of Squares Tests for Structural Change
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- 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.
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Keywords
Change-point; Mean shift; Local asymptotic power; Recursive residuals; Dynamic models.;All these keywords.
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