The CUSUM of squares test for the stability of regression models with non-stationary regressors

In this paper, we propose a modified CUSUM of squares test in time series regression models with a non-stationary regressor and show that the limiting distribution of this test is the sup of the absolute value of a Brownian bridge.

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Year of publication:	2008
Authors:	Lu, Xinhong ; Maekawa, Koichi ; Lee, Sangyeol
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 100.2008, 2, p. 234-237
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005362094