A Modification of the CUSUM Test in the Linear Regression Model with Lagged Dependent Variables

Werner Ploberger, Walter Krämer and R Alt

Empirical Economics, 1989, vol. 14, issue 2, 65-75

Abstract: We consider testing for structural change in a dynamic linear regression model, and show that the well known CUSUM test, which has been initially devised only for the standard static model, can easily be modified such as to remain asymptotically valid also in this nonstandard situation.

Date: 1989
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Working Paper: A modification of the CUSUM test in the linear regression model with lagged dependent variables (1987)
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