ASYMPTOTIC BEHAVIOR OF THE CUSUM OF SQUARES TEST UNDER STOCHASTIC AND DETERMINISTIC TIME TRENDS

DOI10.1017/S0266466610000563zbMath1219.62139MaRDI QIDQ5199502

Bent Nielsen, Jouni S. Sohkanen

Publication date: 16 August 2011

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

Full work available at URL: https://doi.org/10.1017/s0266466610000563

Mathematics Subject Classification ID

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

62F05: Asymptotic properties of parametric tests

Related Items

CUMULATED SUM OF SQUARES STATISTICS FOR NONLINEAR AND NONSTATIONARY REGRESSIONS, On partial-sum processes of ARMAX residuals

Cites Work

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