The Cusum Test with Ols Residuals
Copyright policy )The Cusum Test with Ols Residuals
Summary: We show that the CUSUM test of the stability over time of the coefficients of a linear regression model, which is usually based on recursive residuals, can also be applied to ordinary least squares residuals. We derive the limiting null distribution of the resulting test and compare its local power to that of the standard procedure. It turns out that neither version is uniformly superior to the other.
limiting null distribution, Linear regression; mixed models, Asymptotic distribution theory in statistics, local power, ordinary least squares residuals, CUSUM test, Applications of statistics to economics, recursive residuals
limiting null distribution, Linear regression; mixed models, Asymptotic distribution theory in statistics, local power, ordinary least squares residuals, CUSUM test, Applications of statistics to economics, recursive residuals
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