A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change

DOI10.1016/j.jeconom.2007.04.002zbMath1418.62554OpenAlexW2045970175MaRDI QIDQ290950

Pierre Perron, Ai Deng

Publication date: 3 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2007.04.002

zbMATH Keywords

local asymptotic powerchange pointdynamic modelsmean shiftrecursive residuals

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Applications of statistics in engineering and industry; control charts (62P30) Sequential statistical analysis (62L10)

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