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THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS

Published online by Cambridge University Press:  26 February 2008

Ai Deng  and
Pierre Perron
Ai Deng*
Affiliation:
Bates White, LLC
Pierre Perron
Affiliation:
Boston University
*
Address correspondence to Ai Deng, Bates White, LLC, 1300 Eye Street NW, Suite 600, Washington, DC 20005, USA; e-mail: ai.deng@bateswhite.com.
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Abstract

We consider the cumulative sum (CUSUM) of squares test in a linear regression model with general mixing assumptions on the regressors and the errors. We derive its limit distribution and show how it depends on the nature of the error process. We suggest a corrected version that has a limit distribution free of nuisance parameters. We also discuss how it provides an improvement over the standard approach to testing for a change in the variance in a univariate times series. Simulation evidence is presented to support this.

Type
NOTES AND PROBLEMS
Information
Econometric Theory , Volume 24 , Issue 3 , June 2008 , pp. 809 - 822
Copyright
Copyright © Cambridge University Press 2008

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