Asymptotic behaviour of the CUSUM of squares test under stochastic and deterministic time trends.
We undertake a generalization of the cumulative sum of squares (CUSQ) test to the case of non-stationary autoregressive distributed lag models with quite general deterministic time trends. The test may be validly implemented with either ordinary least squares residuals or standardized forecast error...
| Main Authors: | , |
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| Format: | Working paper |
| Language: | English |
| Published: |
Nuffield College (University of Oxford)
2009
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