Article ID Journal Published Year Pages File Type
5061876 Economics Letters 2008 4 Pages PDF
Abstract

In this paper, we propose a modified CUSUM of squares test in time series regression models with a non-stationary regressor and show that the limiting distribution of this test is the sup of the absolute value of a Brownian bridge.

Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
The CUSUM of squares test for the stability of regression models with non-stationary regressors
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