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Testing for structural change in dynamic models. (English) Zbl 0655.62107
Summary: The well known CUSUM test for structural change is investigated when there are lagged dependent variables among the regressors in a linear model. We show that both a modified CUSUM test, suggested by J.-M. Dufour [J. Econ. 19, 31–76 (1982; Zbl 0514.62117)] and the straightforward CUSUM test retain their asymptotic significance levels in dynamic models, and find that the power depends crucially on the angle between the mean regressor and the structural shift.

MSC:
62P20 Applications of statistics to economics
62J05 Linear regression; mixed models
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
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