Range vs. maximum in the OLS-based version of the CUSUM test

DOI10.1016/0165-1765(92)90130-QMaRDI QIDQ1802079zbMATH OpenFDO

Authors Walter Krämer, Peter C. Schotman

Publication date 8 August 1993

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(92)90130-Q

zbMATH Keywords

ordinary least squaresBrownian bridgeCUSUM testOLS residualsnull hypothesis of parameter constancytest for structural change

Mathematics Subject Classification ID

Linear regression; mixed models (62J05)

Cites work

• scientific article; zbMATH DE number 3502628 (Why is no real title available?)
• Testing for Structural Change in Dynamic Models
• The Cusum Test with Ols Residuals
• The distribution of the maximum Brownian excursion

Cited in

(7)

• A new fluctuation test for constant variances with applications to finance
• Alternative boundaries for CUSUM tests
• Testing for a change in correlation at an unknown point in time using an extended functional delta method
• A range-CUSUM test with recursive residuals
• Implementing a class of structural change tests: an econometric computing approach
• A simple nonparametric test for structural change in joint tail probabilities
• A Unified Approach to Structural Change Tests Based on ML Scores,FStatistics, and OLS Residuals

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