ASYMPTOTIC BEHAVIOR OF THE CUSUM OF SQUARES TEST UNDER STOCHASTIC AND DETERMINISTIC TIME TRENDS

Autor:	Bent Nielsen, Jouni Sohkanen
Rok vydání:	2011
Předmět:	Economics and Econometrics Residual sum of squares Non-linear least squares Statistics Explained sum of squares Least trimmed squares Deviance (statistics) Generalized least squares Lack-of-fit sum of squares Total least squares Social Sciences (miscellaneous) Mathematics
Zdroj:	Econometric Theory. 27:913-927
ISSN:	1469-4360 0266-4666
DOI:	10.1017/s0266466610000563
Popis:	We generalize the cumulative sum of squares (CUSQ) test to the case of nonstationary autoregressive distributed lag models with deterministic time trends. The test may be implemented with either ordinary least squares residuals or standardized forecast errors. In explosive cases the asymptotic theory applies more generally for the least squares residuals-based test. Preliminary simulations of the tests suggest a very modest difference between the tests and a very modest variation with nuisance parameters. This supports the use of the tests in explorative analysis.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::0b3b6c05e102a305ef7500db1140e2e7 https://doi.org/10.1017/s0266466610000563 Zobrazit plný text záznamu