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Asymtotically exact confidence intervals of CUSUM and CUSUMSQ tests: A Numerical Derivation Using Simulation Technique

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In testing a structural change, the approximated confidence intervals are conventionally used for CUSUM and CUSUMSQ tests. This paper numerically derives the asymptotically exact confidence intervals of CUSUM and CUSUMSQ tests. It can be easily extended to nonnormal and/or nonlinear models.

Author(s): Hisashi Tanizaki
Year: 1995

Language: English
Commentary: 48399
Pages: 20