The CUSUM of squares test for the stability of regression models with non-stationary regressors

DOI10.1016/J.ECONLET.2008.01.018MaRDI QIDQ1934863zbMATH OpenOpenAlexFDO

Authors Xinhong Lu, Koichi Maekawa, Sangyeol Lee

Publication date 29 January 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2008.01.018

zbMATH Keywords

Brownian bridgeCUSUMSQ testnon-stationary regressorsserial correlations

Mathematics Subject Classification ID

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

Recommendations

• Cumulated sum of squares statistics for nonlinear and nonstationary regressions
• The Cusum Test with Ols Residuals
• On the cusum of squares test for variance change in nonstationary and nonparametric time series models
• THE CUSUM TESTS WITH NONPARAMETRIC REGRESSION RESIDUALS
• ASYMPTOTIC BEHAVIOR OF THE CUSUM OF SQUARES TEST UNDER STOCHASTIC AND DETERMINISTIC TIME TRENDS

Cites work

• Estimation in dynamic regression with an integrated process
• scientific article; zbMATH DE number 3502628 (Why is no real title available?)
• The CUSUM test based on least squares residuals in regressions with integrated variables
• The Cusum Test for Parameter Change in Regression Models with ARCH Errors
• The Cusum Test for Parameter Change in Time Series Models
• The Cusum Test with Ols Residuals

Cited in

(8)

• 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
• On the cusum of squares test for variance change in nonstationary and nonparametric time series models
• A CUSUMSQ test for structural breaks in error variance for a long memory heterogeneous autoregressive model
• THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS
• 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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