THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS

By Ai Deng, Pierre Perron. Econometric Theory, 2008

59 citations recorded by the source corpus.

Subfields: Analytical Chemistry, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/d8422081c43215e6667331606b8c9fe3fd548e9b

Citations in the corpus

• Power properties of the CUSUM and CUSUMSQ tests for parameter instability (2010, unknown): “More recently, Deng and Perron (2008) argue that a corrected version of the CUSUMSQ test is preferable since it avoids the problem that the limit distribution of the test depends on the nature of the error process in the regression model.”