DIAGNOSTIC-TEST FOR STRUCTURAL-CHANGE IN COINTEGRATED REGRESSION-MODELS

Authors
HAO K INDER B
Citation
K. Hao et B. Inder, DIAGNOSTIC-TEST FOR STRUCTURAL-CHANGE IN COINTEGRATED REGRESSION-MODELS, Economics letters, 50(2), 1996, pp. 179-187
Citations number
9
Categorie Soggetti
Economics
Journal title
Economics letters → ACNP
ISSN journal
01651765
Volume
50
Issue
2
Year of publication
1996
Pages
179 - 187
Database
ISI
SICI code
0165-1765(1996)50:2<179:DFSICR>2.0.ZU;2-5
Abstract
We derive the asymptotic distribution of the OLS-based CUSUM test in t he context of cointegrated regression models and tabulate its critical values. It is also found that the test has non-trivial local power ir respective of the particular type of structure change.