The CUSUM of squares test for the stability of regression models with non-stationary regressors

Xinhong Lu, Koichi Maekawa and Sangyeol Lee

Economics Letters, 2008, vol. 100, issue 2, 234-237

Abstract: In this paper, we propose a modified CUSUM of squares test in time series regression models with a non-stationary regressor and show that the limiting distribution of this test is the sup of the absolute value of a Brownian bridge.

Date: 2008
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