On studentizing a test for structural change

DOI10.1016/0165-1765(86)90009-1MaRDI QIDQ899778zbMATH OpenOpenAlexFDO

Authors Werner Ploberger, Walter Krämer

Publication date 1 January 2016

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(86)90009-1

Mathematics Subject Classification ID

Linear regression; mixed models (62J05)

Cited in

(8)

• THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS
• Monitoring parameter change in time series models
• Cumulated sum of squares statistics for nonlinear and nonstationary regressions
• ASYMPTOTIC BEHAVIOR OF THE CUSUM OF SQUARES TEST UNDER STOCHASTIC AND DETERMINISTIC TIME TRENDS
• Monitoring Distributional Changes in Autoregressive Models
• 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
• Mean adjustment and the CUSUM test for structural change

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