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Testing for structural change in cointegrated regression models: some comparisons and generalizations

✍ Scribed by Hao, Kang


Book ID
120460160
Publisher
Taylor and Francis Group
Year
1996
Tongue
English
Weight
725 KB
Volume
15
Category
Article
ISSN
0747-4938

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## Abstract The power of Chow, linear, predictive failure and cusum of squares tests to detect structural change is compared in a two‐variable random walk model and a once‐for‐all parameter shift model. In each case the linear test has greatest power, followed by the Chow test. It is suggested that