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p values and alternative boundaries for CUSUM tests

Zeileis, Achim (2000) p values and alternative boundaries for CUSUM tests. Working Papers SFB "Adaptive Information Systems and Modelling in Economics and Management Science", 78. SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business, Vienna.

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Abstract

Firstly rather accurate approximations to the p value functions of the common Standard CUSUM test and the OLS-based CUSUM test for structural change are derived. Secondly alternative boundaries for both tests are suggested and their properties are examined by simulation of expected p values. It turns out that the power of the OLS-based CUSUM test for early and late structural changes can be improved, whereas this weakness of the Standard CUSUM test cannot be repaired by the new boundaries. (author's abstract)

Item Type: Paper
Keywords: CUSUM test / structural change
Divisions: Departments > Informationsverarbeitung u Prozessmanag. > Produktionsmanagement > Taudes
Departments > Finance, Accounting and Statistics > Statistics and Mathematics
Departments > Marketing > Tourismus und Freizeitwirtschaft
Departments > Informationsverarbeitung u Prozessmanag. > Informationswirtschaft
Depositing User: Repository Administrator
Date Deposited: 31 Jan 2002 15:24
Last Modified: 14 Sep 2010 22:17
WU Online Catalog: http://onlinekatalog.wu.ac.at/F?func=find-b&reques...
URI: http://epub.wu.ac.at/id/eprint/1778

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