THE CUSUM TESTS WITH NONPARAMETRIC REGRESSION RESIDUALS

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  • CUSUM Tests with Nonparametric Regressi

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This paper develops an asymptotic theory for CUSUM tests for structural stability with nonparametric regression residuals. The results here allow for dynamic models and dependent errors. Although the test statistics in this paper are similar to those of Hidalgo (1995), they are more widely applicable and the proofs for the asymptotics are mathematically correct.

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