On studentizing a test for structural change

Werner Ploberger; Walter Krämer

doi:10.1016/0165-1765(86)90009-1

On studentizing a test for structural change

Werner Ploberger
, Walter Krämer

Research output: Contribution to journal › Article › peer-review

15 Scopus citations

Abstract

We show that the asymptotic null distribution of the CUSUM of squares test is not robust against deviations from normality, and propose a modification which overcomes this deficiency.

Original language	English
Pages (from-to)	341-344
Number of pages	4
Journal	Economics Letters
Volume	20
Issue number	4
DOIs	https://doi.org/10.1016/0165-1765(86)90009-1
State	Published - 1986

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title = "On studentizing a test for structural change",

abstract = "We show that the asymptotic null distribution of the CUSUM of squares test is not robust against deviations from normality, and propose a modification which overcomes this deficiency.",

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AU - Ploberger, Werner

AU - Krämer, Walter

PY - 1986

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AB - We show that the asymptotic null distribution of the CUSUM of squares test is not robust against deviations from normality, and propose a modification which overcomes this deficiency.

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DO - 10.1016/0165-1765(86)90009-1

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VL - 20

SP - 341

EP - 344

JO - Economics Letters

JF - Economics Letters

IS - 4

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On studentizing a test for structural change

Abstract

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