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Citations for "The CUSUM Test with OLS Residuals"

by Ploberger, Werner & Kramer, Walter

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  1. Cashin, P. & Mohaddes, K. & Raissi, M. & Raissi, M., 2012. "The Differential Effects of Oil Demand and Supply Shocks on the Global Economy," Cambridge Working Papers in Economics 1249, Faculty of Economics, University of Cambridge.
  2. Massimiliano Marcellino, . "Instability and non-linearity in the EMU," Working Papers 211, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  3. Milcheva, Stanimira, 2013. "Cross-country effects of regulatory capital arbitrage," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5329-5345.
  4. Marcellino, Massimliano, 2004. "Forecasting EMU macroeconomic variables," International Journal of Forecasting, Elsevier, vol. 20(2), pages 359-372.
  5. Juli Pausas & Santiago Fernández-Muñoz, 2012. "Fire regime changes in the Western Mediterranean Basin: from fuel-limited to drought-driven fire regime," Climatic Change, Springer, vol. 110(1), pages 215-226, January.
  6. Martin Feldstein & James H. Stock, 1994. "The Use of a Monetary Aggregate to Target Nominal GDP," NBER Chapters, in: Monetary Policy, pages 7-69 National Bureau of Economic Research, Inc.
  7. Xu, Ke-Li, 2013. "Powerful tests for structural changes in volatility," Journal of Econometrics, Elsevier, vol. 173(1), pages 126-142.
  8. Alexander Chudik & Hashem Pesaran, 2014. "Theory and Practice of GVAR Modeling," Cambridge Working Papers in Economics 1408, Faculty of Economics, University of Cambridge.
  9. Bos, Theodore & Ding, David & Fetherston, Thomas A., 1998. "Searching for periods of volatility: A study of the behavior of volatility in Thai stocks," Pacific-Basin Finance Journal, Elsevier, vol. 6(3-4), pages 295-306, August.
  10. Raffaella Giacomini & Barbara Rossi, 2010. "Forecast comparisons in unstable environments," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 595-620.
  11. Essahbi Essaadi & Mohamed Boutahar, 2010. "A Measure of Variability in Comovement for Economic Variables: a Time-Varying Coherence Function Approach," Economics Bulletin, AccessEcon, vol. 30(2), pages 1054-1070.
  12. Caporale, Guglielmo Maria & Girardi, Alessandro, 2013. "Fiscal spillovers in the Euro area," Journal of International Money and Finance, Elsevier, vol. 38(C), pages 84.e1-84.e1.
  13. Kapetanios, George, 2008. "Bootstrap-based tests for deterministic time-varying coefficients in regression models," Computational Statistics & Data Analysis, Elsevier, vol. 53(2), pages 534-545, December.
  14. Raffaella Giacomini & Barbara Rossi, 2014. "Forecasting in Nonstationary Environments: What Works and What Doesn’t in Reduced-Form and Structural Models," Working Papers 819, Barcelona Graduate School of Economics.
  15. Perron, Pierre & Yabu, Tomoyoshi, 2009. "Estimating deterministic trends with an integrated or stationary noise component," Journal of Econometrics, Elsevier, vol. 151(1), pages 56-69, July.
  16. Gutierrez, Luciano & Piras, Francesco, 2014. "A global VAR model for the analysis of wheat export prices," 2014 International Congress, August 26-29, 2014, Ljubljana, Slovenia 182723, European Association of Agricultural Economists.
  17. Meligkotsidou, Loukia & Vrontos, Ioannis D., 2008. "Detecting structural breaks and identifying risk factors in hedge fund returns: A Bayesian approach," Journal of Banking & Finance, Elsevier, vol. 32(11), pages 2471-2481, November.
  18. LaFrance, Jeffrey T, 2002. "Generalized rational random errors," CUDARE Working Paper Series 938, University of California at Berkeley, Department of Agricultural and Resource Economics and Policy.
  19. Philip Bertram & Robinson Kruse & Philipp Sibbertsen, 2013. "Fractional integration versus level shifts: the case of realized asset correlations," Statistical Papers, Springer, vol. 54(4), pages 977-991, November.
  20. Essahbi Essaadi & Zied Ftiti, 2008. "The inflation Targeting effect on the inflation series: A New Analysis Approach of evolutionary spectral analysis," Working Papers 0832, Groupe d'Analyse et de Théorie Economique (GATE), Centre national de la recherche scientifique (CNRS), Université Lyon 2, Ecole Normale Supérieure.
  21. Walter Kramer & Philipp Sibbertsen, 2002. "Testing for Structural Changes in the Presence of Long Memory," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 1(3), pages 235-242, December.
  22. Chiquiar, Daniel & Ramos-Francia, Manuel, 2005. "Trade and business-cycle synchronization: evidence from Mexican and U.S. manufacturing industries," The North American Journal of Economics and Finance, Elsevier, vol. 16(2), pages 187-216, August.
  23. Zeileis, Achim, 2006. "Implementing a class of structural change tests: An econometric computing approach," Computational Statistics & Data Analysis, Elsevier, vol. 50(11), pages 2987-3008, July.
  24. 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.
  25. James H. Stock & Mark W. Watson, 1994. "Evidence on structural instability in macroeconomic times series relations," Working Paper Series, Macroeconomic Issues 94-13, Federal Reserve Bank of Chicago.
  26. Stephane Dees & Matthias Burgert & Nicolas Parent, 2013. "Import price dynamics in major advanced economies and heterogeneity in exchange rate pass-through," Empirical Economics, Springer, vol. 45(2), pages 789-816, October.
  27. Ploberger, Werner & Kramer, Walter, 1996. "A trend-resistant test for structural change based on OLS residuals," Journal of Econometrics, Elsevier, vol. 70(1), pages 175-185, January.
  28. Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2014. "Housing and the Great Depression," Applied Economics, Taylor & Francis Journals, vol. 46(24), pages 2966-2981, August.
  29. Edgar Merkle & Achim Zeileis, 2013. "Tests of Measurement Invariance Without Subgroups: A Generalization of Classical Methods," Psychometrika, Springer, vol. 78(1), pages 59-82, January.
  30. Conniffe, Denis & Kelly, Robert, 2011. "Structural Breaks - An Instrumental Variable Approach," Research Technical Papers 4/RT/11, Central Bank of Ireland.
  31. 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.
  32. Altissimo, Filippo & Corradi, Valentina, 2003. "Strong rules for detecting the number of breaks in a time series," Journal of Econometrics, Elsevier, vol. 117(2), pages 207-244, December.
  33. Stephane Dees & Filippo di Mauro & M. Hashem Pesaran & L. Vanessa Smith, 2005. "Exploring the International Linkages of the Euro Area: a Global VAR Analysis," CESifo Working Paper Series 1425, CESifo Group Munich.
  34. LaFrance, Jeffrey T., 2008. "The structure of US food demand," Journal of Econometrics, Elsevier, vol. 147(2), pages 336-349, December.
  35. Denis Conniffe & John E. Spencer, 2000. "Approximating the Distribution of the R/s Statistic," The Economic and Social Review, Economic and Social Studies, vol. 31(3), pages 237-248.
  36. Delgado, Miguel A. & Fiteni, Inmaculada, 2002. "External bootstrap tests for parameter stability," Journal of Econometrics, Elsevier, vol. 109(2), pages 275-303, August.
  37. Luis Fernando melo V. & Martha Misas A., . "Modelos Estructurales de Inflación en Colombia: Estimación a traves de Minimos Cuadrados Flexibles," Borradores de Economia 282, Banco de la Republica de Colombia.
  38. L. Vanessa Smith & Takashi Yamagata, 2008. "Firm Level Volatility-Return Analysis using Dynamic Panels," Discussion Papers 08/09, Department of Economics, University of York.
  39. Prof. Dr. Walter Krämer & Sebastian Schich, . "Large - scaledisasters and the insurance industry," Working Papers 4, Business and Social Statistics Department, Technische Universität Dortmund, revised Mar 2005.
  40. 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.
  41. Kapetanios, George & Yates, Tony, 2011. "Evolving UK and US macroeconomic dynamics through the lens of a model of deterministic structural change," Bank of England working papers 434, Bank of England.
  42. Zhijie Xiao & Luiz Renato Lima, 2007. "Testing Covariance Stationarity," Econometric Reviews, Taylor & Francis Journals, vol. 26(6), pages 643-667.
  43. Alessandro Rebucci & Ambrogio Cesa-Bianchi & M. Hashem Pesaran & TengTeng Xu, 2012. "China's Emergence in the World Economy and Business Cycles in Latin America," ECONOMIA JOURNAL OF THE LATIN AMERICAN AND CARIBBEAN ECONOMIC ASSOCIATION, ECONOMIA JOURNAL OF THE LATIN AMERICAN AND CARIBBEAN ECONOMIC ASSOCIATION.
  44. Willert, Juliane, 2009. "Mean Shift detection under long-range dependencies with ART," MPRA Paper 17874, University Library of Munich, Germany.
  45. Helmut Lütkepohl, 2012. "Reducing Confidence Bands for Simulated Impulse Responses," Discussion Papers of DIW Berlin 1235, DIW Berlin, German Institute for Economic Research.
  46. Brodsky, Boris, 2008. "Structural Changes and Unit Roots: Distinguishing Models of Nonstationary Time Series," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 11(3), pages 52-63.
  47. Qu, Zhongjun, 2008. "Testing for structural change in regression quantiles," Journal of Econometrics, Elsevier, vol. 146(1), pages 170-184, September.
  48. Jian Zhou & Randy Anderson, 2013. "An Empirical Investigation of Herding Behavior in the U.S. REIT Market," The Journal of Real Estate Finance and Economics, Springer, vol. 47(1), pages 83-108, July.
  49. Denis Conniffe & John E. Spencer, 1999. "Approximating the Distribution of the Maximum Partial Sum of Normal Deviates," Papers WP102, Economic and Social Research Institute (ESRI).
  50. Kuan, Chung-Ming, 1998. "Tests for changes in models with a polynomial trend," Journal of Econometrics, Elsevier, vol. 84(1), pages 75-91, May.
  51. Zeileis, Achim & Kleiber, Christian & Kramer, Walter & Hornik, Kurt, 2003. "Testing and dating of structural changes in practice," Computational Statistics & Data Analysis, Elsevier, vol. 44(1-2), pages 109-123, October.
  52. Elliott, Graham & Mueller, Ulrich K., 2004. "Optimally Testing General Breaking Processes in Linear Time Series Models," University of California at San Diego, Economics Working Paper Series qt58n33447, Department of Economics, UC San Diego.
  53. Bussière, M. & Chudik, A. & Mehl, A., 2011. "How have global shocks impacted the real effective exchange rates of individual euro area countries since the euro's creation?," Working papers 336, Banque de France.
  54. Jérôme Creel & Francesco Saraceno, 2008. "Automatic Stabilisation, Discretionary Policy and the Stability Pact," Sciences Po publications 2008-15, Sciences Po.
  55. Chevallier, Julien, 2011. "A model of carbon price interactions with macroeconomic and energy dynamics," Energy Economics, Elsevier, vol. 33(6), pages 1295-1312.
  56. Singh, Tarlok, 2008. "Testing the Saving-Investment correlations in India: An evidence from single-equation and system estimators," Economic Modelling, Elsevier, vol. 25(5), pages 1064-1079, September.
  57. 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.
  58. Dominik Wied & Matthias Arnold & Nicolai Bissantz & Daniel Ziggel, 2012. "A new fluctuation test for constant variances with applications to finance," Metrika, Springer, vol. 75(8), pages 1111-1127, November.
  59. Chan Huh, 1998. "Forecasting industrial production using models with business cycle asymmetry," Economic Review, Federal Reserve Bank of San Francisco, pages 29-41.
  60. Jin Seo Cho & Halbert White, 2009. "Generalized Runs Test for the IID Hypothesis," Discussion Paper Series 0913, Institute of Economic Research, Korea University.
  61. Andreou, E. & Werker, B.J.M., 2004. "An Alternative Asymptotic Analysis of Residual-Based Statistics," Discussion Paper 2004-56, Tilburg University, Center for Economic Research.
  62. Schäfer, Rudi & Guhr, Thomas, 2010. "Local normalization: Uncovering correlations in non-stationary financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(18), pages 3856-3865.
  63. Mohamed Safouane Ben Aissa & Mohamed Boutahar & Jamel Jouini, 2004. "Bai and Perron's and spectral density methods for structural change detection in the US inflation process," Applied Economics Letters, Taylor & Francis Journals, vol. 11(2), pages 109-115.
  64. Caporale, Guglielmo Maria & Pittis, Nikitas, 2004. "Robustness of the CUSUM and CUSUM-of-Squares Tests to Serial Correlation, Endogeneity and Lack of Structural Invariance. Some Monte Carlo Evidence," Economics Series 157, Institute for Advanced Studies.
  65. O'Hare, Colin & Li, Youwei, 2014. "Identifying structural breaks in stochastic mortality models," MPRA Paper 62994, University Library of Munich, Germany.
  66. Kurt Hornik & Friedrich Leisch & Christian Kleiber & Achim Zeileis, 2005. "Monitoring structural change in dynamic econometric models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(1), pages 99-121.
  67. Juhl, Ted & Xiao, Zhijie, 2009. "Tests for changing mean with monotonic power," Journal of Econometrics, Elsevier, vol. 148(1), pages 14-24, January.
  68. Adam Traczyk, 2013. "Financial integration and the term structure of interest rates," Empirical Economics, Springer, vol. 45(3), pages 1267-1305, December.
  69. Stephane Dees & Arthur Saint-Guilhem, 2011. "The role of the United States in the global economy and its evolution over time," Empirical Economics, Springer, vol. 41(3), pages 573-591, December.
  70. Singh, Tarlok, 2010. "Does domestic saving cause economic growth? A time-series evidence from India," Journal of Policy Modeling, Elsevier, vol. 32(2), pages 231-253, March.
  71. Bicu Andreea & Candelon Bertrand, 2012. "On the importance of indirect banking vulnerabilities in the Eurozone," Research Memorandum 033, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  72. Fantazziini, Dean, 2014. "Nowcasting and Forecasting the Monthly Food Stamps Data in the US using Online Search Data," MPRA Paper 59696, University Library of Munich, Germany.
  73. Yazgan, M. Ege & Özkan, Harun, 2015. "Detecting structural changes using wavelets," Finance Research Letters, Elsevier, vol. 12(C), pages 23-37.
  74. Christian Aßmann & Jens Hogrefe & Roman Liesenfeld, 2009. "The decline in German output volatility: a Bayesian analysis," Empirical Economics, Springer, vol. 37(3), pages 653-679, December.
  75. Dieppe, Alistair & Warmedinger, Thomas, 2007. "Modelling intra- and extra-area trade substitution and exchange rate pass-through in the euro area," Working Paper Series 0760, European Central Bank.
  76. Fernando Morra, 2014. "Moderando Inflaciones Moderadas," Department of Economics, Working Papers 106, Departamento de Economía, Facultad de Ciencias Económicas, Universidad Nacional de La Plata.
  77. Ryuzo Miyao, 2004. "Use of Money Supply in the Conduct of Japan's Monetary Policy: Reexamining the Time Series Evidence," Discussion Paper Series 163, Research Institute for Economics & Business Administration, Kobe University.
  78. Giraitis, L. & Kapetanios, G. & Yates, T., 2014. "Inference on stochastic time-varying coefficient models," Journal of Econometrics, Elsevier, vol. 179(1), pages 46-65.
  79. Krämer, Walter & van Kampen, Maarten, 2011. "A simple nonparametric test for structural change in joint tail probabilities," Economics Letters, Elsevier, vol. 110(3), pages 245-247, March.
  80. Achim Zeileis, 2004. "Alternative boundaries for CUSUM tests," Statistical Papers, Springer, vol. 45(1), pages 123-131, January.
  81. Liu, Guanchun & He, Lei & Yue, Yiding & Wang, Jiying, 2014. "The linkage between insurance activity and banking credit: Some evidence from dynamic analysis," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 239-265.
  82. Philipp Sibbertsen, 2004. "Long memory versus structural breaks: An overview," Statistical Papers, Springer, vol. 45(4), pages 465-515, October.
  83. Chevallier, Julien, 2011. "Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models," Economic Modelling, Elsevier, vol. 28(6), pages 2634-2656.
  84. Xiao, Zhijie, 2009. "Quantile cointegrating regression," Journal of Econometrics, Elsevier, vol. 150(2), pages 248-260, June.
  85. João Sousa Andrade & Adelaide Duarte & Marta Simões, 2011. "Inequality and Growth in Portugal: a time series analysis," GEMF Working Papers 2011-11, GEMF - Faculdade de Economia, Universidade de Coimbra.
  86. Cooray, Arusha & Paradiso, Antonio & Truglia, Francesco Giovanni, 2013. "Do countries belonging to the same region suggest the same growth enhancing variables? Evidence from selected South Asian countries," Economic Modelling, Elsevier, vol. 33(C), pages 772-779.
  87. Hwang, Eunju & Shin, Dong Wan, 2013. "A CUSUM test for a long memory heterogeneous autoregressive model," Economics Letters, Elsevier, vol. 121(3), pages 379-383.
  88. Ai Deng & Pierre Perron, 2005. "The Limit Distribution of the CUSUM of Square Test Under Genreal MIxing Conditions," Boston University - Department of Economics - Working Papers Series WP2005-046, Boston University - Department of Economics.
  89. Ramalho, Esmeralda A. & Caleiro, António & Dionfsio, Andreia, 2011. "Explaining consumer confidence in Portugal," Journal of Economic Psychology, Elsevier, vol. 32(1), pages 25-32, February.
  90. Luger, Richard, 2001. "A modified CUSUM test for orthogonal structural changes," Economics Letters, Elsevier, vol. 73(3), pages 301-306, December.
  91. Raffaella Giacomini & Barbara Rossi, 2014. "Forecasting in nonstationary environments: What works and what doesn't in reduced-form and structural models," Economics Working Papers 1476, Department of Economics and Business, Universitat Pompeu Fabra.
  92. Makram El-Shagi & Sebastian Giesen, 2010. "Testing for Structural Breaks at Unknown Time: A Steeplechase," IWH Discussion Papers 19, Halle Institute for Economic Research.
  93. Yan Sun & Frigyes F Heinz & Giang Ho, 2013. "Cross-Country Linkages in Europe; A Global VAR Analysis," IMF Working Papers 13/194, International Monetary Fund.
  94. Kapetanios, George, 2009. "Testing for strict stationarity in financial variables," Journal of Banking & Finance, Elsevier, vol. 33(12), pages 2346-2362, December.
  95. Manuel Ramos Francia & Daniel Chiquiar, 2004. "Bilateral Trade and Business Cycle Synchronization: Evidence from Mexico and United States Manufacturing Industries," Working Papers 2004-05, Banco de México.
  96. Alexander Chudik & Vanessa Smith, 2013. "The GVAR approach and the dominance of the U.S. economy," Globalization and Monetary Policy Institute Working Paper 136, Federal Reserve Bank of Dallas.
  97. Stanislav Anatolyev & Grigory Kosenok, 2011. "Sequential Testing with Uniformly Distributed Size," Working Papers w0123, Center for Economic and Financial Research (CEFIR).
  98. Chevallier, Julien, 2011. "Detecting instability in the volatility of carbon prices," Economics Papers from University Paris Dauphine 123456789/5110, Paris Dauphine University.
  99. Koning, A.J., 1999. "Goodness of fit for the constancy of a classical statistical model over time," Econometric Institute Research Papers EI 9959-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  100. S. Avouyi-Dovi & G. Horny & P. Sevestre, 2015. "The stability of short-term interest rates pass-through in the euro area during the financial market and sovereign debt crises," Working papers 547, Banque de France.
  101. Ahmed, Ehsan & Koppl, Roger & Rosser, J. Jr. & White, Mark V., 1997. "Complex bubble persistence in closed-end country funds," Journal of Economic Behavior & Organization, Elsevier, vol. 32(1), pages 19-37, January.
  102. Lee, Sangyeol & Park, Siyun, 2009. "The monitoring test for the stability of regression models with nonstationary regressors," Economics Letters, Elsevier, vol. 105(3), pages 250-252, December.
  103. Holinski Nils & Vermeulen Robert, 2009. "The International Wealth Effect: A Global Error-Correcting Analysis," Research Memorandum 019, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  104. Achim Zeileis, . "Econometric Computing with HC and HAC Covariance Matrix Estimators," Journal of Statistical Software, American Statistical Association, vol. 11(i10).
  105. 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.
  106. LaFrance, Jeffrey T., 1999. "U.S. Food and Nutrient Demand and the Effects of Agricultural Policies," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt52h9v4dq, Department of Agricultural & Resource Economics, UC Berkeley.
  107. LaFrance, Jeffrey T., 1999. "An Econometric Model of the Demand for Food and Nutrition," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt2z5516c2, Department of Agricultural & Resource Economics, UC Berkeley.
  108. George Kapetanios & Tony Yates, 2014. "Evolving UK and US macroeconomic dynamics through the lens of a model of deterministic structural change," Empirical Economics, Springer, vol. 47(1), pages 305-345, August.
  109. Ahamada, Ibrahim, 2002. "Tests for covariance stationarity and white noise, with an application to Euro/US dollar exchange rate: An approach based on the evolutionary spectral density," Economics Letters, Elsevier, vol. 77(2), pages 177-186, October.
  110. Sibbertsen, Philipp, 2000. "Robust CUSUM-M test in the presence of long-memory disturbances," Technical Reports 2000,19, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  111. Lazarova, Stepana, 2005. "Testing for structural change in regression with long memory processes," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 329-372.
  112. Edgar C. Merkle & Achim Zeileis, 2011. "Generalized Measurement Invariance Tests with Application to Factor Analysis," Working Papers 2011-09, Faculty of Economics and Statistics, University of Innsbruck.
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