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The Local Power of the CUSUM and CUSUM of Squares Tests

Published online by Cambridge University Press:  11 February 2009

Werner Ploberger  and
Walter Krämer;
Werner Ploberger
Affiliation:
Technische Universität Wien
Walter Krämer;
Affiliation:
Universität Dortmund
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Abstract

We consider the local power of the cusum and cusum of squares tests for structural change in the linear regression model. We show that the local power of the cusum of squares test equals its size for a wide class of structural changes, as compared to a nontrivial local power for the cusum test. The conventional ranking of these procedures is thus reversed.

Type
Articles
Information
Econometric Theory , Volume 6 , Issue 3 , September 1990 , pp. 335 - 347
Copyright
Copyright © Cambridge University Press 1990

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