neuere untersuchungen zum cusum-test: anwendung auf dynamische modelle und einfuehrung einer modifizierten varianzschaetzung

Alt, Raimund (December 1985) neuere untersuchungen zum cusum-test: anwendung auf dynamische modelle und einfuehrung einer modifizierten varianzschaetzung. Forschungsberichte / Research Memoranda 225

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summary: the paper presents results of monte carlo experiments, which were designed to reveal some special properties of the cusum test. numerous tables contain empirical results on the significance level and power of some modifications of the usualcusum test. the first part of the paper explores the application of the cusum test in dynamic models. here, the usual cusum test is compared with a test suggested by dufour (1982). then, following an idea of harvey (1975), a modified variance estimator is introduced for static models. the superiority of the modified test is evident, especially in small samples.;

Item Type: IHS Series
Status: Published
Date Deposited: 26 Sep 2014 10:34
Last Modified: 01 Apr 2016 14:07
URI: http://irihs.ihs.ac.at/id/eprint/225

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