Range vs. maximum in the OLS-based version of the CUSUM test

DOI10.1016/0165-1765(92)90130-QzbMath0769.62045MaRDI QIDQ1802079

Walter Kramer, Peter C. Schotman

Publication date: 8 August 1993

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

Brownian bridgeordinary least squaresCUSUM testOLS residualsnull hypothesis of parameter constancytest for structural change

Mathematics Subject Classification ID

Linear regression; mixed models (62J05)

Related Items

A range-CUSUM test with recursive residuals, Alternative boundaries for CUSUM tests, TESTING FOR A CHANGE IN CORRELATION AT AN UNKNOWN POINT IN TIME USING AN EXTENDED FUNCTIONAL DELTA METHOD, A new fluctuation test for constant variances with applications to finance, A Unified Approach to Structural Change Tests Based on ML Scores,FStatistics, and OLS Residuals, Implementing a class of structural change tests: an econometric computing approach, A simple nonparametric test for structural change in joint tail probabilities

Cites Work

• Unnamed Item
• Testing for Structural Change in Dynamic Models
• The Cusum Test with Ols Residuals
• The distribution of the maximum Brownian excursion