Title of article
Diagnostic test for structural change in cointegrated regression models
Author/Authors
Kang، نويسنده , , Hao; Inder، نويسنده , , Brett ، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1996
Pages
9
From page
179
To page
187
Abstract
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 structure change.
Keywords
Structural Change , cointegration , CUSUM test , Fully modified ordinary least squares
Journal title
Economics Letters
Serial Year
1996
Journal title
Economics Letters
Record number
434049
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