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
Authors: Ai Deng, Pierre Perron 
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
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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
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- MOSUM tests for parameter constancy
- The generalized fluctuation test: A unifying view
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- 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
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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
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