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Alternative boundaries for CUSUM tests

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Abstract

Alternative boundaries for the common Recursive (or Standard) CUSUM test and the OLS-based CUSUM test for structural change are suggested and their properties are examined by simulation of expectedp values. The poor power of the tests for early and late structural changes can be improved for the OLS-based version, whereas this weakness of the Recursive CUSUM test cannot be overcome by the new boundaries.

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Authors and Affiliations

  1. Institut für Statistik und Wahrscheinlichkeitstheorie, Technische Universität, Karlsplatz 13, 1040, Wien, Austria

    Achim Zeileis

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  1. Achim Zeileis
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Research supported by the Austrian Science Foundation (FWF) under grant SFB#010 (‘Adaptive Information Systems and Modeling in Economics and Management Science’).

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Zeileis, A. Alternative boundaries for CUSUM tests. Statistical Papers 45, 123–131 (2004). https://doi.org/10.1007/BF02778274

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  • DOI: https://doi.org/10.1007/BF02778274

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