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The Cusum Test with Ols Residuals
Werner Ploberger and Walter Krämer
Vol. 60, No. 2 (Mar., 1992), pp. 271-285
Published by: The Econometric Society
Stable URL: http://www.jstor.org/stable/2951597
Page Count: 15
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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.
Econometrica © 1992 The Econometric Society