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The Cusum Test with Ols Residuals

Werner Ploberger and Walter Krämer
Econometrica
Vol. 60, No. 2 (Mar., 1992), pp. 271-285
Published by: The Econometric Society
DOI: 10.2307/2951597
Stable URL: http://www.jstor.org/stable/2951597
Page Count: 15
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
The Cusum Test with Ols Residuals
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Abstract

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.

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