Cumulated sum of squares statistics for non-linear and non-stationary regressions
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Berenguer-Rico, Vanessa & Nielsen, Bent, 2020. "Cumulated Sum Of Squares Statistics For Nonlinear And Nonstationary Regressions," Econometric Theory, Cambridge University Press, vol. 36(1), pages 1-47, February.
References listed on IDEAS
- Ploberger, Werner & Krämer;, Walter, 1990. "The Local Power of the CUSUM and CUSUM of Squares Tests," Econometric Theory, Cambridge University Press, vol. 6(3), pages 335-347, September.
- Kristensen, Dennis & Rahbek, Anders, 2010. "Likelihood-based inference for cointegration with nonlinear error-correction," Journal of Econometrics, Elsevier, vol. 158(1), pages 78-94, September.
- Davidson, James, 1994. "Stochastic Limit Theory: An Introduction for Econometricians," OUP Catalogue, Oxford University Press, number 9780198774037.
- 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.
- Chan, Nigel & Wang, Qiying, 2015. "Nonlinear regressions with nonstationary time series," Journal of Econometrics, Elsevier, vol. 185(1), pages 182-195.
- Kang Hao & Inder, Brett, 1996.
"Diagnostic test for structural change in cointegrated regression models,"
Economics Letters, Elsevier, vol. 50(2), pages 179-187, February.
- Hao, K. & Inder, B., 1994. "A Diagnostic Test for Structural Change in Cointegrated Regression Models," Monash Econometrics and Business Statistics Working Papers 19/94, Monash University, Department of Econometrics and Business Statistics.
- Park, Joon Y & Phillips, Peter C B, 2001.
"Nonlinear Regressions with Integrated Time Series,"
Econometrica, Econometric Society, vol. 69(1), pages 117-161, January.
- Joon Y. Park & Peter C.B. Phillips, 1998. "Nonlinear Regressions with Integrated Time Series," Cowles Foundation Discussion Papers 1190, Cowles Foundation for Research in Economics, Yale University.
- Xiao, Zhijie & Phillips, Peter C. B., 2002.
"A CUSUM test for cointegration using regression residuals,"
Journal of Econometrics, Elsevier, vol. 108(1), pages 43-61, May.
- Zhijie Xiao & Peter C.B. Phillips, 2001. "A CUSUM Test for Cointegration Using Regression Residuals," Cowles Foundation Discussion Papers 1329, Cowles Foundation for Research in Economics, Yale University.
- Edgerton, David & Wells, Curt, 1994.
"Critical Values for the Cusumsq Statistic in Medium and Large Sized Samples,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 56(3), pages 355-365, August.
- Tom Doan, "undated". "CUSUMTESTS: RATS procedure to compute and display CUSUM and CUSUMQ tests," Statistical Software Components RTS00045, Boston College Department of Economics.
- Nielsen, Bent & Sohkanen, Jouni S., 2011.
"Asymptotic Behavior Of The Cusum Of Squares Test Under Stochastic And Deterministic Time Trends,"
Econometric Theory, Cambridge University Press, vol. 27(4), pages 913-927, August.
- Jouni Sohkanen & B. Nielsen, 2009. "Asymptotic behaviour of the CUSUM of squares test under stochastic and deterministic time trends," Economics Papers 2009-W09, Economics Group, Nuffield College, University of Oxford.
- Kasparis, Ioannis, 2008. "Detection Of Functional Form Misspecification In Cointegrating Relations," Econometric Theory, Cambridge University Press, vol. 24(5), pages 1373-1403, October.
- Sangyeol Lee & Okyoung Na & Seongryong Na, 2003. "On the cusum of squares test for variance change in nonstationary and nonparametric time series models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 55(3), pages 467-485, September.
- Paul Turner, 2010. "Power properties of the CUSUM and CUSUMSQ tests for parameter instability," Applied Economics Letters, Taylor & Francis Journals, vol. 17(11), pages 1049-1053.
- Berenguer Rico, Vanessa & Gonzalo, Jesús, 2013. "Co-summability from linear to non-linear cointegration," UC3M Working papers. Economics we1312, Universidad Carlos III de Madrid. Departamento de Economía.
- Ploberger, Werner & Kramer, Walter, 1986. "On studentizing a test for structural change," Economics Letters, Elsevier, vol. 20(4), pages 341-344.
- Choi, In & Saikkonen, Pentti, 2010. "Tests For Nonlinear Cointegration," Econometric Theory, Cambridge University Press, vol. 26(3), pages 682-709, June.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Jean-Yves Pitarakis, 2017. "A Simple Approach for Diagnosing Instabilities in Predictive Regressions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 79(5), pages 851-874, October.
- Pitarakis, Jean-Yves & Gonzalo, Jesús, 2020. "Out of sample predictability in predictive regressions with many predictor candidates," UC3M Working papers. Economics 31554, Universidad Carlos III de Madrid. Departamento de Economía.
- Jean-Yves Pitarakis, 2020. "A Novel Approach to Predictive Accuracy Testing in Nested Environments," Papers 2008.08387, arXiv.org.
More about this item
Keywords
Cumulated sum of squares; Non-linear Least Squares; Non-stationarity; Specification tests.;JEL classification:
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2016-09-25 (Econometrics)
- NEP-ETS-2016-09-25 (Econometric Time Series)
- NEP-ORE-2016-09-25 (Operations Research)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:nuf:econwp:1509. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Maxine Collett). General contact details of provider: https://www.nuffield.ox.ac.uk/economics/ .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.