The Local Power of the CUSUM and CUSUM of Squares Tests

Werner Ploberger; Walter Krämer

doi:10.1017/S0266466600005302

The Local Power of the CUSUM and CUSUM of Squares Tests

Werner Ploberger, Walter Krämer

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Abstract

We consider the local power of the cusum and cusum of squares tests for structural change in the linear regression model. We show that the local power of the cusum of squares test equals its size for a wide class of structural changes, as compared to a nontrivial local power for the cusum test. The conventional ranking of these procedures is thus reversed.

Original language	English
Pages (from-to)	335-347
Number of pages	13
Journal	Econometric Theory
Volume	6
Issue number	3
DOIs	https://doi.org/10.1017/S0266466600005302
State	Published - Sep 1990

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abstract = "We consider the local power of the cusum and cusum of squares tests for structural change in the linear regression model. We show that the local power of the cusum of squares test equals its size for a wide class of structural changes, as compared to a nontrivial local power for the cusum test. The conventional ranking of these procedures is thus reversed.",

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The Local Power of the CUSUM and CUSUM of Squares Tests

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