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Identifier to cite or link to this item: https://hdl.handle.net/10086/28728

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Title
Power Properties of the Modified CUSUM Tests
Creator
Creator Name
JIANG, Peiyun JIANG, Peiyun
蒋, 佩芸 蒋, 佩芸
Creator Name
KUROZUMI, Eiji KUROZUMI, Eiji
黒住, 英司 黒住, 英司
Abstract (distribution restricted)
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 the orthogonal structural shift.
Publisher
Graduate School of Economics, Hitotsubashi University
Issued Date
2017-08
Language
English(eng)
Resource Type
technical report
Version Type
VoR
Is Part OfRelation -
Related Title
Discussion papers ; No. 2017-05
Number of Pages
21
Appears in Collections
Discussion papers / Graduate School of Economics, Hitotsubashi University
URL
https://hdl.handle.net/10086/28728