Asymptotically exact confidence intervals of cusum and cusumsq tests: a numerical derivation using simulation technique

Tanizaki, Hisashi

doi:10.1080/03610919508813291

Cited by 22 publications

(17 citation statements)

References 8 publications

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“…The study further employs the cumulative sum of recursive residual (CUSUM) and the cumulative sum of squares of recursive residual (CUSUMsq) to test stability of the long-run and the short-run parameters of the model. According to Tanizaki (2001), the CUSUM and CUSUMsq are of paramount importance if one is not certain on when the structural change might have taken place and the methods are perfect for stationary data. The null hypothesis of both the CUSUM and CUSUMsq is that coefficient vectors are the same in every period.…”

Section: Diagnostic Test and Stability Testsmentioning

confidence: 99%

Which among twin deficits hypothesis, twin divergence, and Ricardian's equivalence hold in a developing country?

Ncanywa

Letsoalo

2019

Journal of Public Affairs

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South Africa witnesses the perpetual increase in budget deficit that hampers its ability for inclusive economic growth while on the other hand facing trade balance instability.To realise stability in the economy and sustainable yet inclusive economic growth, the two deficits, namely, budget and trade deficits, should be closely monitored. The study examined the empirical relationship between budget deficit and trade deficit in South Africa in the postapartheid era, employing time series data from 1994 to 2016. The autoregressive distribution lag approach was employed to examine the existence of a cointegration between the set of variables, both in the short-and the long-run relationships and together with the error correction model. It was found that there is a significant and positive relationship between budget deficit and trade deficit in the short run. However, in the long run, the Ricardian's equivalence holds in South Africa. The study recommends that policies aimed at reducing budget and trade deficits should take into account inflation and aim to increase some macroeconomic variables such as fixed investment to ultimately achieve sustainable economic growth.

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Section: Diagnostic Test and Stability Testsmentioning

confidence: 99%

Which among twin deficits hypothesis, twin divergence, and Ricardian's equivalence hold in a developing country?

Ncanywa

Letsoalo

2019

Journal of Public Affairs

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“…We will partially implement the techniques used in (Tanizaki, 1995) for confidence intervals calculation. The simulation algorithm may be carried out as follows.…”

Section: Modification Of Cusum Testmentioning

confidence: 99%

One Modification of the Cusum Test for Detection Early Structural Changes

Bondarenko¹

2008

Proceedings of the Fifth International Conference on Informatics in Control, Automation and Robotics Service

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Structural shifts in time series can occur as consequences of complex processes, arising in system. An ignorance of such structural changes can cause an associated regression model misspecification. In practice, early detection and response to outbreaks, causing the changes in a process, is highly important. The famous CUSUM test of Brown, Durbin & Evans, has a poor power in detecting the structural breaks in parameters occurring early (and also late) in the sample. In this paper, we propose CUSUM-similar test which, due to the transformation of recursive residuals forces the detection of temporal dependence structure in linear regression model and has a larger power for the early structural breaks. Here our interest centres on the detection of single breaks occurring in parameters of the linear model. Distribution and other probabilistic characteristics of the transformed residuals are provided, the boundaries for the new test are derived. The new test can be considered then as a complement to the standard CUSUM test.

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“…Sinceθ * i is computed based on the artificially simulated data, θ is numerically derived by the simulation technique (see, for example, Tanizaki (1995) for the numerical optimization procedure). Using equation (4), we update the parameter θ as follows:…”

Section: Appendix 2: Optimization Proceduresmentioning

confidence: 99%

On least-squares bias in the AR(p) models: Bias correction using the bootstrap methods

2006

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Asymptotically exact confidence intervals of cusum and cusumsq tests: a numerical derivation using simulation technique

Cited by 22 publications

References 8 publications

Which among twin deficits hypothesis, twin divergence, and Ricardian's equivalence hold in a developing country?

Which among twin deficits hypothesis, twin divergence, and Ricardian's equivalence hold in a developing country?

One Modification of the Cusum Test for Detection Early Structural Changes

On least-squares bias in the AR(p) models: Bias correction using the bootstrap methods

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