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

DOI10.1080/07474939508800324zbMATH Open0833.62062OpenAlexW2018097641MaRDI QIDQ4853103FDOQ4853103

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

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zbMATH Keywords

linear modelstructural changeparameter instabilitytransformed dataunknown change pointasymptotic significance levelpreliminary estimateserially correlated disturbancesDufour testmodified CUSUM test

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• The Effect of Serial Correlation on the Performance of CUSUM Tests
• A new test for structural stability in the linear regression model
• Recursive stability analysis of linear regression relationships. An exploratory methodology
• Invariance principles for recursive residuals
• Testing for Structural Change in Dynamic Models
• Title not available (Why is that?)
• Boundary-crossing probabilities for the Brownian motion and Poisson processes and techniques for computing the power of the Kolmogorov-Smirnov test

Cited In (7)

• Testing for Structural Change in Dynamic Models
• 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
• Accurate tests and intervals based on linear cusum statistics
• Use of fuzzy statistical technique in change periods detection of nonlinear time series
• Mean adjustment and the CUSUM test for structural change
• The CUSUM test based on least squares residuals in regressions with integrated variables

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