A Non-local Perspective on the Power Properties of the CUSUM and CUSUM of Squares Tests for Structural Change

By Ai Deng, Pierre Perron. 2005

71 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/9ef2d0eef11b66e9d5db367d02fa1ef438688d2b

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Yohei Yamamoto
2. Shinya Tanaka
3. Ted Juhl
4. Zhijie Xiao
5. Ji Hyung Lee
6. Peter C. B. Phillips
7. Muhammad Shahbaz
8. Tae-Hwan Kim

In Statistics and Probability

1. Yohei Yamamoto
2. Shinya Tanaka
3. Ted Juhl
4. Zhijie Xiao
5. Xianyang Zhang
6. Xiaofeng Shao

Citations in the corpus

• Testing for Factor Loading Structural Change under Common Breaks (2015, methodology): “Subsequent literature carries out asymptotic analyses of the power problem for the case of CUSUM and CUSUM squared tests (Deng and Perron, 2006), the tests proposed by Andrews (1993) and Andrews and Ploberger (1994) (Kim and Perron, 2009), and Elliott and M uller's (2006) d qLL test (Perron and Yam”
• THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS (2008, unknown): “THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS”
• Tests for changing mean with monotonic power (2009, background): “An important issue in tests for structural change is that some tests can exhibit nonmonotonic power (see, e.g., Perron (1991), Vogelsang (1999), Deng and Perron (2007)).”