THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS

DOI10.1017/S026646660808033XzbMath1284.62501OpenAlexW3123169644MaRDI QIDQ3632401

Ai Deng, Pierre Perron

Publication date: 11 June 2009

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s026646660808033x

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Sequential statistical analysis (62L10)

Related Items (10)

A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change ⋮ Sequential testing with uniformly distributed size ⋮ Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods ⋮ Power monotonicity in detecting volatility levels change ⋮ Powerful tests for structural changes in volatility ⋮ ASYMPTOTIC BEHAVIOR OF THE CUSUM OF SQUARES TEST UNDER STOCHASTIC AND DETERMINISTIC TIME TRENDS ⋮ CUMULATED SUM OF SQUARES STATISTICS FOR NONLINEAR AND NONSTATIONARY REGRESSIONS ⋮ Detection of Stationary Errors in Multiple Regressions with Integrated Regressors and Cointegration ⋮ A CUSUMSQ test for structural breaks in error variance for a long memory heterogeneous autoregressive model ⋮ Inference on locally ordered breaks in multiple regressions

Cites Work

• Unnamed Item
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• On studentizing a test for structural change
• Testing for covariance stationarity in stock market data
• A self-similar invariance of critical binary Galton-Watson trees
• The effect of serial correlation on tests for parameter change at unknown time
• Inference in Autoregression under Heteroskedasticity
• Testing the Constancy of Regression Relationships Over Time Using Least Squares Residuals
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
• Stochastic Limit Theory
• Estimating and Testing Linear Models with Multiple Structural Changes
• The Cusum Test for Parameter Change in Regression Models with ARCH Errors
• The Cusum of Squares Test for Scale Changes in Infinite Order Moving Average Processes
• The Cusum Test for Parameter Change in Time Series Models
• Estimating and Testing Structural Changes in Multivariate Regressions
• Some Multivariate Chebyshev Inequalities with Extensions to Continuous Parameter Processes

This page was built for publication: THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS