Template-type: ReDIF-Paper 1.0
Author-Name: Jouni Sohkanen
Author-Email: jouni.sohkanen@economics.ox.ac.uk
Author-Workplace-Name: Dept of Economics, University of Oxford, Oxford
Author-Name: B. Nielsen
Author-Email: bent.nielsen@nuffield.ox.ac.uk
Author-Workplace-Name: Nuffield College, University of Oxford, Oxford.
Title: Asymptotic behaviour of the CUSUM of squares test under stochastic and deterministic time trends
Abstract: We undertake a generalization of the cumulative sum of squares (CUSQ)
test to the case of non-stationary autoregressive distributed lag models with
quite general deterministic time trends. The test may be validly implemented
with either ordinary least squares residuals or standardized forecast errors.
Simulations suggest that there is little at stake in the choice between the two
in the unit root case under Gaussian innovations, and that there is only very
modest variation in the finite sample distribution across the parameter space.
X-Keywords: 
X-Classification-JEL:
Length: 19 pages
Creation-Date: 2009-08-31
Number: 2009-W09
File-URL: http://www.nuffield.ox.ac.uk/economics/papers/2009/w9/CUSQpaper.pdf
File-Format: application/pdf
Handle: RePEc:nuf:econwp:0909