THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS

DOI10.1017/S026646660808033XzbMath1284.62501MaRDI QIDQ3632401

Ai Deng, Pierre Perron

Publication date: 11 June 2009

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s026646660808033x

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62J05: Linear regression; mixed models

62L10: Sequential statistical analysis

Related Items

Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods, ASYMPTOTIC BEHAVIOR OF THE CUSUM OF SQUARES TEST UNDER STOCHASTIC AND DETERMINISTIC TIME TRENDS, CUMULATED SUM OF SQUARES STATISTICS FOR NONLINEAR AND NONSTATIONARY REGRESSIONS, Inference on locally ordered breaks in multiple regressions, A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change, Powerful tests for structural changes in volatility, Sequential testing with uniformly distributed size, A CUSUMSQ test for structural breaks in error variance for a long memory heterogeneous autoregressive model, Power monotonicity in detecting volatility levels change, Detection of Stationary Errors in Multiple Regressions with Integrated Regressors and Cointegration

Cites Work

• Unnamed Item
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• On studentizing a test for structural change
• Testing for covariance stationarity in stock market data
• A self-similar invariance of critical binary Galton-Watson trees
• The effect of serial correlation on tests for parameter change at unknown time
• Inference in Autoregression under Heteroskedasticity
• Testing the Constancy of Regression Relationships Over Time Using Least Squares Residuals
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
• Stochastic Limit Theory
• Estimating and Testing Linear Models with Multiple Structural Changes
• The Cusum Test for Parameter Change in Regression Models with ARCH Errors
• The Cusum of Squares Test for Scale Changes in Infinite Order Moving Average Processes
• The Cusum Test for Parameter Change in Time Series Models
• Estimating and Testing Structural Changes in Multivariate Regressions
• Some Multivariate Chebyshev Inequalities with Extensions to Continuous Parameter Processes