The Cusum Test with Ols Residuals
From MaRDI portal
Publication:4006266
DOI10.2307/2951597zbMath0744.62155OpenAlexW2094069555MaRDI QIDQ4006266
Walter Kramer, Werner Ploberger
Publication date: 26 September 1992
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2951597
Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05)
Related Items
Testing for structural change in regression with long memory processes, Testing the constancy of regression parameters against continuous structural change, MONITORING PROCEDURES TO DETECT UNIT ROOTS AND STATIONARITY, 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 non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change, Unnamed Item, Testing for structural change in regression quantiles, The structure of US food demand, Tests for changing mean with monotonic power, Methods of analyzing nonstationary time series with implicit changes in their properties, Tests For Constancy Of Model Parameters Over Time, Diagnostic test for structural change in cointegrated regression models, Time series segmentation: A sliding window approach, Gradient-based structural change detection for nonstationary time series M-estimation, A trend-resistant test for structural change based on OLS residuals, A simple test for a bubble based on growth and acceleration, A test for changing trends with monotonic power, Detecting structural changes under nonstationary volatility, Sequential testing with uniformly distributed size, A residual-based multivariate constant correlation test, ON-LINE MONITORING OF POLLUTION CONCENTRATIONS WITH AUTOREGRESSIVE MOVING AVERAGE TIME SERIES, Tests for changes in models with a polynomial trend, Is MORE LESS? The role of data augmentation in testing for structural breaks, A new nonparametric stability test with an application to major Chinese macroeconomic time series, Reducing confidence bands for simulated impulse responses, Fractional integration versus level shifts: the case of realized asset correlations, When bubbles burst: econometric tests based on structural breaks, Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods, A new fluctuation test for constant variances with applications to finance, The CUSUM of squares test for the stability of regression models with non-stationary regressors, The generalized fluctuation test: A unifying view, Testing for shifts in mean with monotonic power against multiple structural changes, BACKWARD CUSUM FOR TESTING AND MONITORING STRUCTURAL CHANGE WITH AN APPLICATION TO COVID-19 PANDEMIC DATA, Improving the finite sample performance of tests for a shift in mean, Tests of measurement invariance without subgroups: a generalization of classical methods, Kolmogorov-Smirnov type testing for structural breaks: a new adjusted-range based self-normalization approach, Modeling trend processes in parametric mortality models, Testing cointegration in quantile regressions with an application to the term structure of interest rates, Strong rules for detecting the number of breaks in a time series, Change point detection for nonparametric regression under strongly mixing process, Structural changes and unit roots in non-stationary time series, Local Fourier tests for structural change based on residuals, Testing for random individual effects using recursive residuals, Generalized M‐fluctuation tests for parameter instability, A CUSUM test for a long memory heterogeneous autoregressive model, Generalized random forests, An Optimal Retrospective Change Point Detection Policy, Time-varying instrumental variable estimation, Robust bent line regression, A Unified Approach to Structural Change Tests Based on ML Scores,FStatistics, and OLS Residuals, Testing and dating of structural changes in practice, Implementing a class of structural change tests: an econometric computing approach, Powerful tests for structural changes in volatility, Bootstrap-based tests for deterministic time-varying coefficients in regression models, A simple nonparametric test for structural change in joint tail probabilities, Change-point detection in a shape-restricted regression model, Long memory versus structural breaks: an overview, Nonmonotonic power for tests of a mean shift in a time series§, Testing Covariance Stationarity, A modified CUSUM test for orthogonal structural changes, On partial-sum processes of ARMAX residuals, Inference on stochastic time-varying coefficient models, A simple test on structural change in long-memory time series, Generalized runs tests for the IID hypothesis, Bootstrapping non-stationary stochastic volatility, Range vs. maximum in the OLS-based version of the CUSUM test, OPTIMAL TESTS FOR NESTED MODEL SELECTION WITH UNDERLYING PARAMETER INSTABILITY, MODEL COMPARISONS IN UNSTABLE ENVIRONMENTS, Sequential Detection of Change-Points in Linear Models, Parsimonious periodic autoregressive models for time series with evolving trend and seasonality, Detecting structural breaks in multivariate financial time series: evidence from hedge fund investment strategies, Monitoring Structural Changes in Generalized Linear Models, A radial basis function artificial neural network test for neglected nonlinearity, Long Memory, Realized Volatility and Heterogeneous Autoregressive Models, Approximating the distribution of the maximum partial sum of normal deviates, The monitoring test for the stability of regression models with nonstationary regressors, Testing parameter constancy in linear models against stochastic stationary parameters, A note on the structural change test in highly parameterized psychometric models, Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series, Tests for covariance stationarity and white noise, with an application to Euro/US dollar exchange rate: An approach based on the evolutionary spectral density, Ratio tests under limiting normality, Variance estimators in the chu‐white test for structural change, The CUSUM test based on least squares residuals in regressions with integrated variables, External bootstrap tests for parameter stability., Power properties of the modified CUSUM tests, Reproducible Econometric Simulations, A CUSUM test for cointegration using regression residuals
