Response surfaces of MOSUM critical values

Chung-Ming Kuan () and Mai-Yuan Chen

Applied Economics Letters, 2002, vol. 9, issue 2, 133-136

Abstract: The response surfaces of MOSUM critical values are computed, from which the finite sample and asymptotic critical values for different moving window bandwidths can easily be calculated. Results also show that the finite-sample critical values originally suggested by Bauer and Hackl and the asymptotic critical values are much too large in finite samples.

Date: 2002
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DOI: 10.1080/13504850110050728

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