The Local Power of the CUSUM and CUSUM of Squares Tests

Werner Ploberger and Kr?mer;, Walter

Econometric Theory, 1990, vol. 6, issue 03, pages 335-347

Abstract: We consider the local power of the cusum and cusum of squares tests for structural change in the linear regression model. We show that the local power of the cusum of squares test equals its size for a wide class of structural changes, as compared to a nontrivial local power for the cusum test. The conventional ranking of these procedures is thus reversed.

Date: 1990
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