Alternative boundaries for CUSUM tests |
| |
Authors: | Zeileis Achim |
| |
Institution: | 1.Institut für Statistik und Wahrscheinlichkeitstheorie, Technische Universit?t, Karlsplatz 13, 1040, Wien, Austria ; |
| |
Abstract: | Alternative boundaries for the common Recursive (or Standard) CUSUM test and the OLS-based CUSUM test for structural change
are suggested and their properties are examined by simulation of expectedp values. The poor power of the tests for early and late structural changes can be improved for the OLS-based version, whereas
this weakness of the Recursive CUSUM test cannot be overcome by the new boundaries.
Research supported by the Austrian Science Foundation (FWF) under grant SFB#010 (‘Adaptive Information Systems and Modeling
in Economics and Management Science’). |
| |
Keywords: | CUSUM test structural change |
本文献已被 SpringerLink 等数据库收录! |
|