Title of article :
Diagnostic test for structural change in cointegrated regression models
Author/Authors :
Kang، نويسنده , , Hao; Inder، نويسنده , , Brett ، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 1996
Abstract :
We derive the asymptotic distribution of the OLS-based CUSUM test in the context of cointegrated regression models and tabulate its critical values. It is also found that the test has non-trivial local power irrespective of the particular type of structure change.
Keywords :
Structural Change , cointegration , CUSUM test , Fully modified ordinary least squares
Journal title :
Economics Letters
Journal title :
Economics Letters