Econometrica

Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Econometrica: Nov, 1988, Volume 56, Issue 6

Testing for Structural Change in Dynamic Models

https://www.jstor.org/stable/1913102
p. 1355-1369

Raimund Alt, Walter Kramer, Werner Ploberger

The well known CUSUM test for structural change is investigated when there are lagged dependent variables among the regressors in a linear model. We show that both a modified CUSUM test, suggested by Dufour (1982), and the straightforward CUSUM test retain their asymptotic significance levels in dynamic models, and find that the power depends crucially on the angle between the mean regressor and the structural shift.


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