The CUSUM of squares test for the stability of regression models with non-stationary regressors

DOI10.1016/J.ECONLET.2008.01.018zbMath1255.62269OpenAlexW2078095098MaRDI QIDQ1934863

Xinhong Lu, Sangyeol Lee, Koichi Maekawa

Publication date: 29 January 2013

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2008.01.018

zbMATH Keywords

Brownian bridgeserial correlationsCUSUMSQ testnon-stationary regressors

Mathematics Subject Classification ID

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

Related Items (2)

The monitoring test for the stability of regression models with nonstationary regressors ⋮ A CUSUMSQ test for structural breaks in error variance for a long memory heterogeneous autoregressive model

Cites Work

• Unnamed Item
• The CUSUM test based on least squares residuals in regressions with integrated variables
• Estimation in dynamic regression with an integrated process
• The Cusum Test with Ols Residuals
• The Cusum Test for Parameter Change in Regression Models with ARCH Errors
• The Cusum Test for Parameter Change in Time Series Models

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