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

DOI10.1016/J.JECONOM.2007.04.002MaRDI QIDQ290950zbMATHOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3502628 (Why is no real title available?)
• A new test for structural stability in the linear regression model
• Fixed-b asymptotic approximation of the sampling behaviour of nonparametric spectral density estimators
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Invariance principles for recursive residuals
• MOSUM tests for parameter constancy
• On Detecting Changes in the Mean of Normal Variates
• On studentizing a test for structural change
• Recursive stability analysis of linear regression relationships. An exploratory methodology
• Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series
• 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
• The Cusum Test with Ols Residuals
• The effect of serial correlation on tests for parameter change at unknown time
• The generalized fluctuation test: A unifying view
• Two Methods for Examining the Stability of Regression Coefficients

Cited in

(21)

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

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