Resource title

p values and alternative boundaries for CUSUM tests

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Resource description

Firstly rather accurate approximations to the p value functions of the common Standard CUSUM test and the OLS-based CUSUM test for structural change are derived. Secondly alternative boundaries for both tests are suggested and their properties are examined by simulation of expected p values. It turns out that the power of the OLS-based CUSUM test for early and late structural changes can be improved, whereas this weakness of the Standard CUSUM test cannot be repaired by the new boundaries. (author's abstract) ; Series: Working Papers SFB "Adaptive Information Systems and Modelling in Economics and Management Science"

Resource author

Achim Zeileis

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Resource publish date

Resource language

en

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application/pdf

Resource resource URL

http://epub.wu.ac.at/1778/1/document.pdf

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