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Range vs. maximum in the OLS-based version of the CUSUM test

Authors
Journal
Economics Letters
0165-1765
Publisher
Elsevier
Publication Date
Volume
40
Issue
4
Identifiers
DOI: 10.1016/0165-1765(92)90130-q

Abstract

Abstract We suggest an OLS-based version of the well known CUSUM test which rejects the null hypothesis of parameter constancy whenever the range of the cumulated OLS residuals becomes too large.

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