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

Ai Deng () and Pierre Perron ()

Econometric Theory, 2008, vol. 24, issue 03, pages 809-822

Abstract: We consider the cumulative sum (CUSUM) of squares test in a linear regression model with general mixing assumptions on the regressors and the errors. We derive its limit distribution and show how it depends on the nature of the error process. We suggest a corrected version that has a limit distribution free of nuisance parameters. We also discuss how it provides an improvement over the standard approach to testing for a change in the variance in a univariate times series. Simulation evidence is presented to support this.

Date: 2008
View citations in EconPapers

Downloads: (external link)
http://journals.cambridge.org/abstract_S026646660808033X link to article abstract page (text/html)

Related works:
Working Paper: The Limit Distribution of the CUSUM of Squares Test Under General Mixing Conditions (2006)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:24:y:2008:i:03:p:809-822_08

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press
Address: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Series data maintained by Mike Eden ().