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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, 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
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Working Paper: The Limit Distribution of the CUSUM of Squares Test Under General Mixing Conditions (2006)
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