ENGLISH

Asymtotically exact confidence intervals of CUSUM and CUSUMSQ tests: A Numerical Derivation Using Simulation Technique

By Hisashi Tanizaki

Book information

Year
1995
Language
english
Format
PDF
Filesize
151 kB (154973 bytes)
Pages
20\20
Library
mexmat
Time added
2009-11-09 02:42:13

Description

In testing a structural change, the approximated confidence intervals are conventionally used for CUSUM and CUSUMSQ tests. This paper numerically derives the asymptotically exact confidence intervals of CUSUM and CUSUMSQ tests. It can be easily extended to nonnormal and/or nonlinear models.

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