A Diagnostic Test for Structural Change in Cointegrated Regression Models

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.


Issue Date:
Oct 01 1994
Publication Type:
Working or Discussion Paper
Record Identifier:
http://ageconsearch.umn.edu/record/267752
Language:
English
Total Pages:
14
Series Statement:
Working Paper No. 19/94




 Record created 2018-02-02, last modified 2018-02-03

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