A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change

DOI10.1016/J.JECONOM.2007.04.002zbMATH Open1418.62554OpenAlexW2045970175MaRDI QIDQ290950FDOQ290950

Pierre Perron, Ai Deng

Publication date: 3 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2007.04.002

Recommendations

• Testing for structural change under non-stationary variances
• Testing for Structural Change in Dynamic Models
• THE CUSUM TESTS WITH NONPARAMETRIC REGRESSION RESIDUALS
• CUSUM of Squares‐Based Tests for a Change in Persistence
• Tests for changing mean with monotonic power

zbMATH Keywords

change pointdynamic modelslocal asymptotic powermean shiftrecursive residuals

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) Applications of statistics in engineering and industry; control charts (62P30) Sequential statistical analysis (62L10)

Cites Work

• Title not available (Why is that?)
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• The effect of serial correlation on tests for parameter change at unknown time
• The Cusum Test with Ols Residuals
• A new test for structural stability in the linear regression model
• Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series
• MOSUM tests for parameter constancy
• The generalized fluctuation test: A unifying view
• Recursive stability analysis of linear regression relationships. An exploratory methodology
• Invariance principles for recursive residuals
• Fixed-b asymptotic approximation of the sampling behaviour of nonparametric spectral density estimators
• THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS
• Testing for Structural Change in Dynamic Models
• Testing the Constancy of Regression Relationships Over Time Using Least Squares Residuals
• Two Methods for Examining the Stability of Regression Coefficients
• On Detecting Changes in the Mean of Normal Variates
• On studentizing a test for structural change

Cited In (21)

• On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests
• Testing for common breaks in a multiple equations system
• A modified CUSUM test for orthogonal structural changes
• Bootstrapping non-stationary stochastic volatility
• Power monotonicity in detecting volatility levels change
• Testing for Changes in Forecasting Performance
• ASYMPTOTIC BEHAVIOR OF THE CUSUM OF SQUARES TEST UNDER STOCHASTIC AND DETERMINISTIC TIME TRENDS
• A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression models
• A non‐parametric test for multi‐variate trend functions
• A CROSS-SECTIONAL METHOD FOR RIGHT-TAILED PANIC TESTS UNDER A MODERATELY LOCAL TO UNITY FRAMEWORK
• Testing for shifts in mean with monotonic power against multiple structural changes
• Power properties of the modified CUSUM tests
• Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope
• Tests for changing mean with monotonic power
• Generalized runs tests for the IID hypothesis
• Improving the finite sample performance of tests for a shift in mean
• Testing for factor loading structural change under common breaks
• CUMULATED SUM OF SQUARES STATISTICS FOR NONLINEAR AND NONSTATIONARY REGRESSIONS
• Fixed‐banalysis of LM‐type tests for a shift in mean
• Tests for a mean shift with good size and monotonic power
• Powerful tests for structural changes in volatility

This page was built for publication: A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q290950)