Template-Type: ReDIF-Paper 1.0

Author-Name: Ai Deng
Author-X-Name-First: Ai 
Author-X-Name-Last: Deng
Author-Email: dengai@bu.edu
Author-Workplace-Name:  Bates White, LLC

Author-Name: Pierre Perron
Author-X-Name-First: Pierre 
Author-X-Name-Last: Perron
Author-Email: perron@bu.edu
Author-Workplace-Name:  Department of Economics, Boston University

Title: The Limit Distribution of the CUSUM of
Squares Test Under General Mixing
Conditions

Abstract: We consider the CUSUM of squares test in a linear regression model with general
mixing assumptions on the regressors and the errors. We derive its limit distribution
and show how it depends on the nature of the error process. We suggest a corrected
version that has a limit distribution free of nuisance parameters. We also discuss how
it provides an improvement over the standard approach to testing for a change in the
variance in a univariate times series. Simulation evidence is presented to support this.

Length: 13 pages
Creation-Date: 2006-11
Revision-Date: 
Publication-Status:
File-URL:http://people.bu.edu/perron/papers/cus-lim.pdf
File-Format: Application/pdf
File-Function: 
Number: wp2006-004
Classification-JEL: 
Keywords: Change-point, Variance shift, Recursive residuals, Dynamic models,
Conditional heteroskedasticity.
Handle: RePEc:bos:wpaper:wp2006-004