A Diagnostic Test for Structural Change in Cointegrated Regression Models

Kang Hao and Brett Inder

No 267752, Department of Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: In this paper we derive the asymptotic distribution of the OLS based CUSUM test in the context of cointegrated regression models and tabulate its critical values. It is also found that the test has non-trivial local power irrespective of the particular type of structural change.

Keywords: Research; Methods/Statistical; Methods (search for similar items in EconPapers)
Pages: 14
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Persistent link: https://EconPapers.repec.org/RePEc:ags:monebs:267752

DOI: 10.22004/ag.econ.267752

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