A Diagnostic Test for Structural Change in Cointegrated Regression Models
Hao, Kang; Inder, Brett
1994

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Abstract

In this paper we derive the asymptotic distribution of the OLS based CUSUM test in the context of cointegrated regression models and tabulate its critical values. It is also found that the test has non-trivial local power irrespective of the particular type of structural change.

Details

Title A Diagnostic Test for Structural Change in Cointegrated Regression Models
Keywords
Author(s) Hao, Kang
Inder, Brett
Subject(s)
Issue Date Oct 01 1994
Publication Type Working or Discussion Paper
DOI and Other Identifiers 10.22004/ag.econ.267752
Record Identifier https://ageconsearch.umn.edu/record/267752
Language English
Total Pages 14
Series Statement Working Paper No. 19/94
Record Appears in Monash University > Department of Econometrics and Business Statistics Working Papers

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