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  • 1
    Electronic Resource
    Electronic Resource
    The Local Power of the CUSUM and CUSUM of Squares Tests (1990)
    New York : Cambridge University Press
    Econometric theory 6 (1990), S. 335-347 
    Details
    ISSN: 0266-4666
    Source: Cambridge Journals Digital Archives
    Topics: Economics
    Notes: We consider the local power of the cusum and cusum of squares tests for structural change in the linear regression model. We show that the local power of the cusum of squares test equals its size for a wide class of structural changes, as compared to a nontrivial local power for the cusum test. The conventional ranking of these procedures is thus reversed.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1017/S0266466600005302
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  • 2
    Electronic Resource
    Electronic Resource
    Posterior Odds Testing for a Unit Root with Data-Based Model Selection (1994)
    New York : Cambridge University Press
    Econometric theory 10 (1994), S. 774-808 
    Details
    ISSN: 0266-4666
    Source: Cambridge Journals Digital Archives
    Topics: Economics
    Notes: The Kalman filter is used to derive updating equations for the Bayesian data density in discrete time linear regression models with stochastic regressors. The implied “Bayes model” has time varying parameters and conditionally heterogeneous error variances. A σ-finite Bayes model measure is given and used to produce a new-model-selection criterion (PIC) and objective posterior odds tests for sharp null hypotheses like the presence of a unit root. This extends earlier work by Phillips and Ploberger [18]. Autoregressive-moving average (ARMA) models are considered, and a general test of trend-stationarity versus difference stationarity is developed in ARMA models that allow for automatic order selection of the stochastic regressors and the degree of the deterministic trend. The tests are completely consistent in that both type I and type II errors tend to zero as the sample size tends to infinity. Simulation results and an empirical application are reported. The simulations show that the PIC works very well and is generally superior to the Schwarz BIC criterion, even in stationary systems. Empirical application of our methods to the Nelson-Plosser [11] series show that three series (unemployment, industrial production, and the money stock) are level- or trend-stationary. The other eleven series are found to be stochastically nonstationary.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1017/S026646660000877X
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