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Response surfaces of MOSUM critical values

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  • Chung-Ming Kuan
  • Mai-Yuan Chen

Abstract

The response surfaces of MOSUM critical values are computed, from which the finite sample and asymptotic critical values for different moving window bandwidths can easily be calculated. Results also show that the finite-sample critical values originally suggested by Bauer and Hackl and the asymptotic critical values are much too large in finite samples.

Suggested Citation

  • Chung-Ming Kuan & Mai-Yuan Chen, 2002. "Response surfaces of MOSUM critical values," Applied Economics Letters, Taylor & Francis Journals, vol. 9(2), pages 133-136.
    • Handle: RePEc:taf:apeclt:v:9:y:2002:i:2:p:133-136
    DOI: 10.1080/13504850110050728
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    References listed on IDEAS

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    1. Ploberger, Werner & Kramer, Walter, 1992. "The CUSUM Test with OLS Residuals," Econometrica, Econometric Society, vol. 60(2), pages 271-285, March.
    2. Chu, Chia-Shang James & Hornik, Kurt & Kuan, Chung-Ming, 1995. "The Moving-Estimates Test for Parameter Stability," Econometric Theory, Cambridge University Press, vol. 11(4), pages 699-720, August.
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