Asymptotic behavior of the cusum of squares test under stochastic and deterministic time trends

Bent Nielsen, Jouni Samuli Sohkanen

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    5 Citations (Scopus)

    Abstract

    We generalize the cumulative sum of squares (CUSQ) test to the case of nonstationary autoregressive distributed lag models with deterministic time trends. The test may be implemented with either ordinary least squares residuals or standardized forecast errors. In explosive cases the asymptotic theory applies more generally for the least squares residuals-based test. Preliminary simulations of the tests suggest a very modest difference between the tests and a very modest variation with nuisance parameters. This supports the use of the tests in explorative analysis.
    Original languageEnglish
    Pages (from-to)913-927
    JournalEconometric Theory
    Volume27
    Issue number4
    Early online date11 Jul 2011
    DOIs
    Publication statusPublished - Aug 2011

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