@techreport{2e76a37477194abfa54976bed9649754,
title = "p values and alternative boundaries for CUSUM tests",
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.",
author = "Achim Zeileis",
year = "2000",
doi = "10.57938/2e76a374-7719-4abf-a549-76bed9649754",
language = "English",
series = "Working Papers SFB {"}Adaptive Information Systems and Modelling in Economics and Management Science{"}",
number = "78",
publisher = "SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business",
edition = "December 2000",
type = "WorkingPaper",
institution = "SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business",
}