基于OLS残差的抗趋势结构变化检验

A trend-resistant test for structural change based on OLS residuals

Journal of Econometrics · 1996
被引 36
人大 AABS 4

中文导读

讨论了一种基于OLS残差的CUSUM检验的零分布和局部功效,证明该检验可应用于趋势数据,而其他结构变化检验(如Ploberger-Kontrus-Krämer波动检验)则不能。

Abstract

We discuss the null distribution and local power of an OLS-based version of the CUSUM test and show that this, contrary to other tests for structural change like, e.g., the Ploberger-Kontrus-Krämer fluctuation test, can also be applied to trending data.

CUSUM检验结构变化趋势数据OLS残差