A New Test for Structural Change in Dynamic Models

This paper considers the linear regression model with the lagged dependent variable as a regressor. It argues that the Dynamic CUSUM test may not be ideal in testing for a structural change at an unknown point in time. A new test is proposed, with critical values based on small disturbance asymptotics. A Monte Carlo study shows some power improvement. The new test also provides far more reliable estimates of the location of the structural break.


Issue Date:
Dec 01 1992
Publication Type:
Working or Discussion Paper
Language:
English
Total Pages:
23
Series Statement:
Working Paper No. 15/92




 Record created 2018-01-30, last modified 2018-01-31

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