THE LOCAL-POWER OF THE CUSUM AND CUSUM OF SQUARES TESTS

被引：53

作者：

PLOBERGER, W ^{[1
]}

KRAMER, W ^{[1
]}

机构：

[1] UNIV DORTMUND,W-4600 DORTMUND 50,GERMANY

来源：

ECONOMETRIC THEORY | 1990年 / 6卷 / 03期

关键词：

D O I：

10.1017/S0266466600005302

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We consider the local power of the cusum and cusum of squares tests for structural change in the linear regression model. We show that the local power of the cusum of squares test equals its size for a wide class of structural changes, as compared to a nontrivial local power for the cusum test. The conventional ranking of these procedures is thus reversed. © 1990, Cambridge University Press. All rights reserved.

引用

页码：335 / 347

页数：13

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