A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change

Deng, Ai, Perron, Pierre . Journal of Econometrics 2008. 142 (1) :212-240

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Bibtex

@article{CIS-248895,
  Author = {Deng, Ai and Perron, Pierre},
  Title = {A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change},
  Journal = {Journal of Econometrics},
  Volume = {142},
  Number = {1},
  Year = {2008},
  Pages = {212--240},
  Keywords = {Change point, Mean shift, Dynamic models, Local asymptotic power, Recursive residuals}
}

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