Summary
We extend the well-known CUSUM test for the constancy of the coefficients of a linear regression model, which is usually based on recursive residuals, to ordinary least squares (OLS) residuals. We show how to modify the test statistic, derive its limiting distribution under H 0, and compare the finite sample power of the two versions of the test via Monte Carlo experiments.
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References
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© 1991 Springer-Verlag Berlin Heidelberg
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Krämer, W., Ploberger, W., Schlüter, I. (1991). Recursive vs. OLS Residuals in the CUSUM Test. In: Hackl, P., Westlund, A.H. (eds) Economic Structural Change. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-06824-3_3
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DOI: https://doi.org/10.1007/978-3-662-06824-3_3
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-662-06826-7
Online ISBN: 978-3-662-06824-3
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