論文

2019年6月

Power properties of the modified CUSUM tests

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS
  • Peiyun Jiang
  • ,
  • Eiji Kurozumi

48
12
開始ページ
2962
終了ページ
2981
記述言語
英語
掲載種別
研究論文(学術雑誌)
DOI
10.1080/03610926.2018.1473598
出版者・発行元
TAYLOR & FRANCIS INC

The CUSUM test has played an important role in theory and applications related to structural change, but its drawback is that it loses power when the break is orthogonal to the mean of the regressors. In this study, we consider two modified CUSUM tests that have been proposed, implicitly or explicitly, in the literature to detect such structural changes and investigate the limiting power properties of these tests under a fixed alternative. We demonstrate that the modified tests are superior to the classic tests in terms of both asymptotic theory and in finite samples when detecting an orthogonal structural shift.


リンク情報
DOI
https://doi.org/10.1080/03610926.2018.1473598
Web of Science
https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcAuth=JSTA_CEL&SrcApp=J_Gate_JST&DestLinkType=FullRecord&KeyUT=WOS:000476531800007&DestApp=WOS_CPL
ID情報
  • DOI : 10.1080/03610926.2018.1473598
  • ISSN : 0361-0926
  • eISSN : 1532-415X
  • Web of Science ID : WOS:000476531800007

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