A Modification of the CUSUM Test in the Linear Regression Model with Lagged Dependent Variables
We consider testing for structural change in a dynamic linear regression model, and show that the well known CUSUM test, which has been initially devised only for the standard static model, can easily be modified such as to remain asymptotically valid also in this nonstandard situation.
KeywordsRandom Element Nominal Size Rejection Probability CUSUM Test Standard Static Model
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