A TREND-RESISTANT TEST FOR STRUCTURAL-CHANGE BASED ON OLS RESIDUALS

Authors
PLOBERGER W KRAMER W
Citation
W. Ploberger et W. Kramer, A TREND-RESISTANT TEST FOR STRUCTURAL-CHANGE BASED ON OLS RESIDUALS, Journal of econometrics, 70(1), 1996, pp. 175-185
Citations number
19
Categorie Soggetti
Social Sciences, Mathematical Methods",Economics,"Mathematical, Methods, Social Sciences
Journal title
Journal of econometrics → ACNP
ISSN journal
03044076
Volume
70
Issue
1
Year of publication
1996
Pages
175 - 185
Database
ISI
SICI code
0304-4076(1996)70:1<175:ATTFSB>2.0.ZU;2-2
Abstract
We discuss the null distribution and local power of an OLS-based versi on of the CUSUM test and show that this, contrary to other tests for s tructural change like, e.g., the Ploberger-Kontrus-Kramer fluctuation test, can also be applied to trending data.