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

DOI10.1016/0165-1765(93)90204-PzbMath0794.62076OpenAlexW1991949527MaRDI QIDQ1311292

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

structural stabilityordinary least squaresCUSUM testlimiting null distributionsOLS residualsregression on timeunit root autoregression with drift

Mathematics Subject Classification ID

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

Related Items

The CUSUM of squares test for the stability of regression models with non-stationary regressors ⋮ On partial-sum processes of ARMAX residuals ⋮ 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

Cites Work

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• The CUSUM test based on least squares residuals in regressions with integrated variables
• Asymptotic Normality, When Regressors Have a Unit Root
• Testing the Constancy of Regression Relationships Over Time Using Least Squares Residuals
• The Cusum Test with Ols Residuals
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis