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Asymptotic behaviour of the CUSUM of squares test under stochastic and deterministic time trends

  • Bent Nielsen
  • Jouni Sohkanen

We undertake a generalization of the cumulative sum of squares (CUSQ) test to the case of non-stationary autoregressive distributed lag models with quite general deterministic time trends.� The test may be validly implemented with either ordinary least squares residuals or standardized forecasat errors.� Simulations suggest that there is little at stake in the choice between the two in the unit root case under Gaussian innovations, and that there is only very modest variation in the finite sample distribution across the parameter space.

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File URL: http://www.nuff.ox.ac.uk/economics/papers/2009/w9/CUSQpaper.pdf
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Paper provided by University of Oxford, Department of Economics in its series Economics Series Working Papers with number 2009-W09.

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Date of creation: 01 Aug 2009
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Handle: RePEc:oxf:wpaper:2009-w09
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  1. Ai Deng & Pierre Perron, 2006. "The Limit Distribution of the CUSUM of Squares Test Under General Mixing Conditions," Boston University - Department of Economics - Working Papers Series wp2006-004, Boston University - Department of Economics.
  2. Bent Nielsen, 2003. "Strong consistency results for least squares estimators in general vector autoregressions with deterministic terms," Economics Series Working Papers 2003-W23, University of Oxford, Department of Economics.
  3. Margaret M. McConnell & Gabriel Perez Quiros, 1998. "Output fluctuations in the United States: what has changed since the early 1980s?," Staff Reports 41, Federal Reserve Bank of New York.
  4. 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.
  5. Ploberger, Werner & Kramer, Walter, 1986. "On studentizing a test for structural change," Economics Letters, Elsevier, vol. 20(4), pages 341-344.
  6. Lu, Xinhong & Maekawa, Koichi & Lee, Sangyeol, 2008. "The CUSUM of squares test for the stability of regression models with non-stationary regressors," Economics Letters, Elsevier, vol. 100(2), pages 234-237, August.
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