Year: 2011
Type: article
Abstract: The actual power performance of historical structural change tests are compared under various alternatives. The tests of interest are F, CUSUM, MOSUM, Moving Estimates and empirical distribution function tests with both recursive and ordinary least-squares residuals. Our comparison of the structural tests involves limiting distributions under the hypothesis, the ability to detect the alternative hypotheses under one or double structural change, and smooth change in parameters. Even though no version is uniformly superior to the other, the knowledge about the properties of those tests and connections between these tests can be used in practical structural change tests and in further research on other change tests.
Author: Jae-Hee Kim
Institution: Duksung Women's University
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: bronze
OpenAlex ID: W2009170508