A cusum test in the linear regression model with serially correlated disturbances

DOI10.1080/07474939508800324MaRDI QIDQ4853103zbMATH OpenOpenAlexFDO

Authors Chihwa Kao, Stephen L. Ross

Publication date 3 December 1995

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474939508800324

zbMATH Keywords

asymptotic significance levelDufour testlinear modelmodified CUSUM testparameter instabilitypreliminary estimateserially correlated disturbancesstructural changetransformed dataunknown change point

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A new test for structural stability in the linear regression model
• Boundary-crossing probabilities for the Brownian motion and Poisson processes and techniques for computing the power of the Kolmogorov-Smirnov test
• scientific article; zbMATH DE number 52652 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Invariance principles for recursive residuals
• Recursive stability analysis of linear regression relationships. An exploratory methodology
• Testing for Structural Change in Dynamic Models
• The Effect of Serial Correlation on the Performance of CUSUM Tests

Cited in

(7)

• Accurate tests and intervals based on linear cusum statistics
• Use of fuzzy statistical technique in change periods detection of nonlinear time series
• The CUSUM test based on least squares residuals in regressions with integrated variables
• Detections of changes in return by a wavelet smoother with conditional heteroscedastic volatility
• Improved and extended end-of-sample instability tests using a feasible quasi-generalized least squares procedure
• Testing for Structural Change in Dynamic Models
• Mean adjustment and the CUSUM test for structural change

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