Template-type: ReDIF-Paper 1.0
Author-Name: Vanessa Berenguer-Rico
Author-Workplace-Name: Dept of Economics, Mansfield College and Programme for Economic Modelling, Oxford University
Author-Name: Bent Nielsen
Author-Workplace-Name: Dept of Economics, Nuffield College, Institute Programme for Economic Modelling, Oxford University
Author-Email: bent.nielsen@nuffield.ox.ac.uk.
Title: Cumulated sum of squares statistics for non-linear and non-stationary regressions
Abstract: We show that the cumulated sum of squares test has a standard Brownian bridge-type
asymptotic distribution in non-linear regression models with non-stationary regressors. This
contrasts with cumulated sum tests which have been studied previously and where the asymptotic
distribution involves nuisance quantities. Through simulation we show that the power is
comparable in a wide of range of situations.

Classification-JEL: C01; C22.
Keywords:  Cumulated sum of squares, Non-linear Least Squares, Non-stationarity, Specification tests.
Length: 14 pages
Creation-Date: 2015-08-03
Number: 2015-W09
File-URL: https://www.nuffield.ox.ac.uk/economics/papers/2015/BerenguerRicoNielsenCUSQ2015.pdf
File-Format: application/pdf
Handle: RePEc:nuf:econwp:1509