ASYMPTOTIC BEHAVIOR OF THE CUSUM OF SQUARES TEST UNDER STOCHASTIC AND DETERMINISTIC TIME TRENDS

DOI10.1017/S0266466610000563zbMath1219.62139OpenAlexW2113765997MaRDI QIDQ5199502

Bent Nielsen, Jouni S. Sohkanen

Publication date: 16 August 2011

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

Full work available at URL: https://doi.org/10.1017/s0266466610000563

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05)

Cites Work

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• A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change
• On studentizing a test for structural change
• Limiting distributions of least squares estimates of unstable autoregressive processes
• On the cusum of squares test for variance change in nonstationary and nonparametric time series models
• On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
• THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS
• Two-Sample Tests of Cramér--von Mises- and Kolmogorov--Smirnov-Type for Randomly Censored Data
• Testing the Constancy of Regression Relationships Over Time Using Least Squares Residuals
• STRONG CONSISTENCY RESULTS FOR LEAST SQUARES ESTIMATORS IN GENERAL VECTOR AUTOREGRESSIONS WITH DETERMINISTIC TERMS

Related Items (2)

On partial-sum processes of ARMAX residuals ⋮ CUMULATED SUM OF SQUARES STATISTICS FOR NONLINEAR AND NONSTATIONARY REGRESSIONS

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