The CUSUM test for OLS residuals

By W. Ploberger, Walter Krämer. 1992

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Citations in the corpus

Generalized random forests (2016, methodology): “(2008); conceptually, it is closely related to standard techniques for moment-based change-point detection (Andrews, 1993; Hansen, 1992; Hjort and Koning, 2002; Nyblom, 1989; Ploberger and Krämer, 1992; Zeileis, 2005; Zeileis and Hornik, 2007).”
Optimally Testing General Breaking Processes in Linear Time Series Models (2003, background): “Ploberger, Krämer and Kontrus (1989) and Ploberger and Krämer (1992) propose tests that are functions of the partial sum of OLS residuals of regression (3).”
Non‐parametric detection and estimation of structural change (2012, unknown): “In contrast, the CUSUM test does a poor job; this is not surprising since it is well-known that the CUSUM test is only able to detect changes in the intercept, c.f. Ploberger and Krämer (1992).”
Econometric Computing with HC and HAC Covariance Matrix Estimators (2004, methodology): “The p values for the OLS-based CUSUM test can be computed from the distribution of the supremum of a Brownian bridge (see e.g., Ploberger and Kr¨amer 1992).”
Strong Rules for Detecting the Number of Breaks in a Time Series (2003, methodology): “The statistic V 1 T , as de0ned in (2), is the supremum of the partial sum of the residuals with respect to all the possible break points; the statistic is similar to the CUSUM of Ploberger and Kramer (1992), but for the scaling factor d−1 T instead of T −1=2.”
A Non-local Perspective on the Power Properties of the CUSUM and CUSUM of Squares Tests for Structural Change (2005, background): “As documented in Ploberger and Krämer (1992), the power of the CUSUM test is higher with recursive residuals when the break occurs early in the sample, and vice versa, the power is higher with OLS residuals when the break occurs late in the sample.”
Efficient Tests for General Persistent Time Variation in Regression Coefficients (2006, background): “Many other tests have been suggested (e.g. Brown, Durbin and Evans, 1975; Ploberger, Krämer and Kontrus, 1989; Ploberger and Krämer, 1992).”
A CUSUM Test for Cointegration Using Regression Residuals (2002, methodology): “In stationary time series regression (i.e., with I(0) regressors, see Ploberger and Kramer, 1992), the limiting distribution of the CUSUM statistic is asymptotically invariant to the limit behavior of the regressors (only the constant term plays a role in the limit).”
Inference on stochastic time-varying coefficient models (2014, background): “Examples include Brown, Durbin, and Evans (1974), Ploberger and Kramer (1992) and many others.”
A Unified Approach to Structural Change Tests Based on ML Scores, F Statistics, and OLS Residuals (2005, methodology): “Ploberger and Krämer (1992) showed how the CUSUM test can also be based on OLS residuals.”