论文信息 - p values and alternative boundaries for CUSUM tests

p values and alternative boundaries for CUSUM tests

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.

Achim Zeileis | A. Zeileis

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