A cusum test in the linear regression model with serially correlated disturbances

DOI10.1080/07474939508800324zbMath0833.62062OpenAlexW2018097641MaRDI QIDQ4853103

Chihwa Kao, Stephen L. Ross

Publication date: 3 December 1995

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

Full work available at URL: https://doi.org/10.1080/07474939508800324

zbMATH Keywords

linear modeltransformed datastructural changeparameter instabilityunknown change pointasymptotic significance levelpreliminary estimateserially correlated disturbancesDufour testmodified CUSUM test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03)

Related Items (2)

Detections of changes in return by a wavelet smoother with conditional heteroscedastic volatility ⋮ Use of fuzzy statistical technique in change periods detection of nonlinear time series

Cites Work

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• Recursive stability analysis of linear regression relationships. An exploratory methodology
• A new test for structural stability in the linear regression model
• Invariance principles for recursive residuals
• Testing for Structural Change in Dynamic Models
• The Effect of Serial Correlation on the Performance of CUSUM Tests
• Boundary-crossing probabilities for the Brownian motion and Poisson processes and techniques for computing the power of the Kolmogorov-Smirnov test

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