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Biometrika 1995 82(3):603-617; doi:10.1093/biomet/82.3.603
© 1995 by Biometrika Trust
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Articles

MOSUM tests for parameter constancy

CHIA-SHANG J. CHU1, KURT HORNIK2 and CHUNG-MING KAUN3

1 Department of Economics, University of Southern California Los Angeles, California 90089, U. S.A.
2 Institut für Statistik und Wahrscheinlichkeitstheorie, Technische Universität Wien A-1040 Wien, Austria
3 Department of Economics, National Taiwan University Taipei 10020, Taiwan

Received for publication 1 May 1994. Revision received 1 January 1995.
  Abstract

In this paper, tests for structural change based on moving sums (MOSUMS) of recursive and least-squares residuals are investigated. We obtain and tabulate the asymptotic critical values of the MOSUM test with recursive residuals and show that the asymptotic critical values of the MOSUM test with least-squares residuals can easily be obtained from already existing tables for the moving-estimates test. We also show that these MOSUM tests are consistent and have nontrivial local power against a general class of alternatives. Our simulations further indicate that the proposed MOSUM tests can complement other tests when there is a single structural change and have power advantage when there are certain double structural changes.

Key Words: Brownian bridge • CUSUM • Least-squares residual • MOSUM • Recursive residual • Structural change • Wiener process


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