The CUSUM of squares test for the stability of regression models with non-stationary regressors
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Publication:1934863
DOI10.1016/j.econlet.2008.01.018zbMath1255.62269MaRDI QIDQ1934863
Xinhong Lu, Sangyeol Lee, Koichi Maekawa
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
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
62F03: Parametric hypothesis testing
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The monitoring test for the stability of regression models with nonstationary regressors, A CUSUMSQ test for structural breaks in error variance for a long memory heterogeneous autoregressive model
Cites Work
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- The CUSUM test based on least squares residuals in regressions with integrated variables
- Estimation in dynamic regression with an integrated process
- The Cusum Test with Ols Residuals
- The Cusum Test for Parameter Change in Regression Models with ARCH Errors
- The Cusum Test for Parameter Change in Time Series Models