Abstract
In this paper we are interested in detecting structural change at an unknown point. We argue that the CUSUM test may not ideal for this, and propose an alternative test. Critical values for this test are determined based on the multiple studentt test procedure. A Monte Carlo study suggests that the new test is quite powerful when the structural change occurs in the latter part of the sample. The new test also provides information about the location of structural change.
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We are grateful to the editor and two referees for many helpful comments. Remaining errors are our own.
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Inder, B., Hao, K. A new test for structural change. Empirical Economics 21, 475–482 (1996). https://doi.org/10.1007/BF01179868
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DOI: https://doi.org/10.1007/BF01179868