The CUSUM test based on least squares residuals in regressions with integrated variables

DOI10.1016/0165-1765(93)90204-PMaRDI QIDQ1311292zbMATH OpenOpenAlexFDO

Authors Jonathan H. Wright

Publication date 13 January 1994

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(93)90204-p

zbMATH Keywords

CUSUM testlimiting null distributionsOLS residualsordinary least squaresregression on timestructural stabilityunit root autoregression with drift

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• The Cusum Test with Ols Residuals
• THE CUSUM TESTS WITH NONPARAMETRIC REGRESSION RESIDUALS
• A cusum test in the linear regression model with serially correlated disturbances
• The CUSUM of squares test for the stability of regression models with non-stationary regressors
• A CUSUM test for cointegration using regression residuals

Cites work

• Asymptotic Normality, When Regressors Have a Unit Root
• scientific article; zbMATH DE number 3502628 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Testing the Constancy of Regression Relationships Over Time Using Least Squares Residuals
• The CUSUM test based on least squares residuals in regressions with integrated variables
• The Cusum Test with Ols Residuals
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

Cited in

(10)

• The monitoring test for the stability of regression models with nonstationary regressors
• The CUSUM test based on least squares residuals in regressions with integrated variables
• Diagnostic test for structural change in cointegrated regression models
• A CUSUM test for cointegration using regression residuals
• A trend-resistant test for structural change based on OLS residuals
• The CUSUM of squares test for the stability of regression models with non-stationary regressors
• On partial-sum processes of ARMAX residuals
• The Cusum Test with Ols Residuals
• THE CUSUM TESTS WITH NONPARAMETRIC REGRESSION RESIDUALS
• Cumulated sum of squares statistics for nonlinear and nonstationary regressions

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