Testing for Structural Change in Dynamic Models
研究了线性模型中存在滞后因变量作为回归变量时，CUSUM检验及其修正版本在动态模型中的渐近显著性水平，并发现检验功效取决于均值回归变量与结构变化之间的角度。
The well-known CUSUM test for structural change is investigated whe n there are lagged dependent variables among the regressors in a linear model. The authors show that both a modified CUSUM test, suggested b y J. M. Dufour (1982), and the straightforward CUSUM test retain their asymptotic significance levels in dynamic models, and find that the power depends crucially on the angle between the mean regressor and the structural shift. Copyright 1988 by The Econometric Society.