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p values and alternative boundaries for CUSUM tests

  • Achim Zeileis

Publikation: Working/Discussion PaperWU Working Paper und Case

78 Downloads (Pure)

Abstract

Firstly rather accurate approximations to the p value functions of the common Standard CUSUM test and the OLS-based CUSUM test for structural change are derived. Secondly alternative boundaries for both tests are suggested and their properties are examined by simulation of expected p values. It turns out that the power of the OLS-based CUSUM test for early and late structural changes can be improved, whereas this weakness of the Standard CUSUM test cannot be repaired by the new boundaries.

Publikationsreihe

ReiheWorking Papers SFB "Adaptive Information Systems and Modelling in Economics and Management Science"
Nummer78

WU Working Papers und Cases

  • Working Papers SFB \Adaptive Information Systems and Modelling in Economics and Management Science\

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