Range vs. maximum in the OLS-based version of the CUSUM test
From MaRDI portal
Publication:1802079
DOI10.1016/0165-1765(92)90130-QzbMath0769.62045MaRDI QIDQ1802079
Walter Kramer, Peter C. Schotman
Publication date: 8 August 1993
Published in: Economics Letters (Search for Journal in Brave)
Brownian bridgeordinary least squaresCUSUM testOLS residualsnull hypothesis of parameter constancytest for structural change
Related Items
A range-CUSUM test with recursive residuals ⋮ Alternative boundaries for CUSUM tests ⋮ TESTING FOR A CHANGE IN CORRELATION AT AN UNKNOWN POINT IN TIME USING AN EXTENDED FUNCTIONAL DELTA METHOD ⋮ A new fluctuation test for constant variances with applications to finance ⋮ A Unified Approach to Structural Change Tests Based on ML Scores,FStatistics, and OLS Residuals ⋮ Implementing a class of structural change tests: an econometric computing approach ⋮ A simple nonparametric test for structural change in joint tail probabilities
Cites Work