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A modification of the CUSUM test in the linear regression model with lagged dependent variables

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  • Krämer, Walter
  • Ploberger, Werner
  • Alt, Raimund

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.
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Suggested Citation

  • Krämer, Walter & Ploberger, Werner & Alt, Raimund, 1987. "A modification of the CUSUM test in the linear regression model with lagged dependent variables," Hannover Economic Papers (HEP) dp-104, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  • Handle: RePEc:han:dpaper:dp-104
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    References listed on IDEAS

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    1. Bellmann, Lutz & Hübler, Olaf, 2014. "Skill Shortages in German Establishments," IZA Discussion Papers 8290, Institute for the Study of Labor (IZA).
    2. Horbach, Jens, 2014. "Determinants of labor shortage - with particular focus on the German environmental sector," IAB Discussion Paper 201422, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
    3. Bellmann Lutz & Hübler Olaf, 2014. "The Skill Shortage in German Establishments Before, During and After the Great Recession," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 234(6), pages 800-828, December.
    4. Karl Brenke, 2010. "Fachkräftemangel kurzfristig noch nicht in Sicht," DIW Wochenbericht, DIW Berlin, German Institute for Economic Research, vol. 77(46), pages 2-15.
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    Cited by:

    1. Bai, Jushan, 1993. "Least squares estimation of a shift in linear processes," MPRA Paper 32878, University Library of Munich, Germany.
    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. Luger, Richard, 2001. "A modified CUSUM test for orthogonal structural changes," Economics Letters, Elsevier, vol. 73(3), pages 301-306, December.
    4. 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.

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