The Local Power of the CUSUM and CUSUM of Squares Tests

B-Tier
Journal: Econometric Theory
Year: 1990
Volume: 6
Issue: 3
Pages: 335-347

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We consider the local power of the cusum and cusum of squares tests for structural change in the linear regression model. We show that the local power of the cusum of squares test equals its size for a wide class of structural changes, as compared to a nontrivial local power for the cusum test. The conventional ranking of these procedures is thus reversed.

Technical Details

RePEc Handle
repec:cup:etheor:v:6:y:1990:i:03:p:335-347_00
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25