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A Modification of the CUSUM Test in the Linear Regression Model with Lagged Dependent Variables

  • Werner Ploberger
  • Walter Krämer
  • Raimund Alt
Conference paper
Part of the Studies in Empirical Economics book series (STUDEMP)

Abstract

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.

Keywords

Random Element Nominal Size Rejection Probability CUSUM Test Standard Static Model 
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Copyright information

© Physica-Verlag Heidelberg 1989

Authors and Affiliations

  • Werner Ploberger
    • 1
    • 2
    • 3
  • Walter Krämer
    • 1
    • 2
    • 3
  • Raimund Alt
    • 1
    • 2
    • 3
  1. 1.Institut für Ökonometrie und Operations ResearchTU WienWienAustria
  2. 2.Fachbereich WirtschaftswissenschaftenUniversität HannoverWienAustria
  3. 3.Institut für Höhere StudienWienAustria

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