The well known CUSUM test for structural change is investigated when there are lagged dependent variables among the regressors in a linear model. We show that both a modified CUSUM test, suggested by Dufour (1982), and the straightforward CUSUM test retain their asymptotic significance levels in dynamic models, and find that the power depends crucially on the angle between the mean regressor and the structural shift.
MLA
Alt, Raimund, et al. “Testing for Structural Change in Dynamic Models.” Econometrica, vol. 56, .no 6, Econometric Society, 1988, pp. 1355-1369, https://www.jstor.org/stable/1913102
Chicago
Alt, Raimund, Walter Kramer, and Werner Ploberger. “Testing for Structural Change in Dynamic Models.” Econometrica, 56, .no 6, (Econometric Society: 1988), 1355-1369. https://www.jstor.org/stable/1913102
APA
Alt, R., Kramer, W., & Ploberger, W. (1988). Testing for Structural Change in Dynamic Models. Econometrica, 56(6), 1355-1369. https://www.jstor.org/stable/1913102
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