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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
1

p values and alternative boundaries for CUSUM tests

Zeileis, Achim January 2000 (has links) (PDF)
Firstly rather accurate approximations to the p value functions of the common Standard CUSUM test and the OLS-based CUSUM test for structural change are derived. Secondly alternative boundaries for both tests are suggested and their properties are examined by simulation of expected p values. It turns out that the power of the OLS-based CUSUM test for early and late structural changes can be improved, whereas this weakness of the Standard CUSUM test cannot be repaired by the new boundaries. / Series: Working Papers SFB "Adaptive Information Systems and Modelling in Economics and Management Science"

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