Kramer, Walter; Ploberger, Werner; Alt, Raimund - In: Econometrica 56 (1988) 6, pp. 1355-69
The well-known CUSUM test for structural change is investigated whe n there are lagged dependent variables among the regressors in a linear model. The authors show that both a modified CUSUM test, suggested b y J. M. Dufour (1982), and the straightforward CUSUM test retain their asymptotic...