neuere untersuchungen zum cusum-test: anwendung auf dynamische modelle und einfuehrung einer modifizierten varianzschaetzung
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 th...| Link(s) zu Dokument(en): | IHS Publikation |
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| Format: | IHS Series NonPeerReviewed |
| Sprache: | Englisch |
| Veröffentlicht: |
institut fuer hoehere studien
1985
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| Zusammenfassung: | 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.; |
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