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A Non-Local Perspective on the Power Properties of the CUSUM and CUSUM of Squares Tests for Structural Change

Deng, Ai - 2015

We consider the power properties of the CUSUM and CUSUM of squares (CUSQ) tests in the presence of a one-time change in the parameters of a linear regression model. A result due to Ploberger and Krämer [1990. The local power of the cusum and cusum of squares tests. Econometric Theory 6,...

Persistent link: https://www.econbiz.de/10013009369

Local power of consistent tests for serial correlation against the nearly integrated, nearly white noise process

Deng, Ai - In: Economics letters 107 (2010) 1, pp. 22-25

Persistent link: https://www.econbiz.de/10003970817

Time series cross validation : a theoretical result and finite sample performance

Deng, Ai - In: Economics letters 233 (2023), pp. 1-4

Persistent link: https://www.econbiz.de/10014505085

Local Power of Consistent Tests for Serial Correlation Against Nearly Integrated, Nearly White Noise Process

Deng, Ai - 2015

We show that any consistent tests for serial correlation have unit local power against the nearly integrated, nearly white noise process. The expected higher power is confirmed in finite sample Monte Carlo simulations

Persistent link: https://www.econbiz.de/10013009355