THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS

DOI10.1017/S026646660808033XzbMath1284.62501MaRDI QIDQ3632401

Pierre Perron, Ai Deng

Publication date: 11 June 2009

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62J05: Linear regression; mixed models

62L10: Sequential statistical analysis

Related Items

ASYMPTOTIC BEHAVIOR OF THE CUSUM OF SQUARES TEST UNDER STOCHASTIC AND DETERMINISTIC TIME TRENDS, A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change, A CUSUMSQ test for structural breaks in error variance for a long memory heterogeneous autoregressive model, Power monotonicity in detecting volatility levels change, Detection of Stationary Errors in Multiple Regressions with Integrated Regressors and Cointegration

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