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Original Articles

Power properties of the CUSUM and CUSUMSQ tests for parameter instability

Pages 1049-1053 | Published online: 03 Jul 2009

References

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  • Deng , A. and Perron , P. 2008 . The limit distribution of the CUSUM of squares test under general mixing conditions . Econometric Theory , 24 : 809 – 22 .
  • Durbin , J. 1969 . Tests for serial correlation in regression analysis based on the periodogram of least-squares residuals . Biometrika , 56 : 1 – 15 .
  • McCabe , B. P. M. and Harrison , M. J. 1980 . Testing the constancy of regression relationships over time using least squares residuals . Applied Statistics , 29 : 142 – 8 .
  • Ploberger , W. and Kramer , W. 1990 . The local power of the CUSUM and CUSUM of squares tests . Econometric Theory , 6 : 335 – 47 .

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