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    <SEQUENTIAL>
      <record key="001" att1="001" value="152854" att2="152854">001   152854</record>
      <field key="037" subkey="x">englisch</field>
      <field key="050" subkey="x">Forschungsbericht</field>
      <field key="076" subkey="">Ökonomie</field>
      <field key="079" subkey="y">http://www.ihs.ac.at/publications/eco/es-157.pdf</field>
      <field key="079" subkey="z">Caporale, Guglielmo Maria - et al., Robustness of the CUSUM and CUSUM-of-Squares Tests to Serial Correlation, Endogeneity and</field>
      <field key="Lac" subkey="k">of Structural Invariance (pdf)</field>
      <field key="079" subkey="y">http://ideas.repec.org/p/ihs/ihsesp/157.html</field>
      <field key="079" subkey="z">Institute for Advanced Studies. Economics Series; 157 (RePEc)</field>
      <field key="100" subkey="">Caporale, Guglielmo Maria</field>
      <field key="103" subkey="">London South Bank University</field>
      <field key="104" subkey="a">Pittis, Nikitas</field>
      <field key="107" subkey="">University of Piraeus</field>
      <field key="331" subkey="">Robustness of the CUSUM and CUSUM-of-Squares Tests to Serial Correlation, Endogeneity and Lack of Structural Invariance</field>
      <field key="335" subkey="">Some Monte Carlo Evidence</field>
      <field key="403" subkey="">1. Ed.</field>
      <field key="410" subkey="">Wien</field>
      <field key="412" subkey="">Institut für Höhere Studien</field>
      <field key="425" subkey="">2004, May</field>
      <field key="433" subkey="">25 pp.</field>
      <field key="451" subkey="">Institut für Höhere Studien; Reihe Ökonomie; 157</field>
      <field key="451" subkey="h">Kunst, Robert M. (Ed.) ; Fisher, Walter (Assoc. Ed.) ; Ritzberger, Klaus (Assoc. Ed.)</field>
      <field key="461" subkey="">Economics Series</field>
      <field key="517" subkey="c">from the Table of Contents: Introduction; The Model; Monte Carlo Results; Conclusions;</field>
      <field key="542" subkey="">1605-7996</field>
      <field key="544" subkey="">IHSES 157</field>
      <field key="700" subkey="">C12</field>
      <field key="700" subkey="">C15</field>
      <field key="700" subkey="">C22</field>
      <field key="720" subkey="">CUSUM and CUSUM-of-squares tests</field>
      <field key="720" subkey="">Parameter instability</field>
      <field key="720" subkey="">Structural invariance</field>
      <field key="720" subkey="">Marginal and conditional processes</field>
      <field key="720" subkey="">ADL model</field>
      <field key="753" subkey="">Abstract: This paper investigates by means of Monte Carlo techniques the robustness of the CUSUM and CUSUM-of-squares tests</field>
      <field key="(Br" subkey="o">wn et al., 1975) to serial correlation, endogeneity and lack of structural invariance. Our findings suggest that these tests</field>
      <field key="per" subkey="f">orm better in the context of a dynamic model of the ADL type, which is not affected by serial correlation or nonpredetermined</field>
      <field key="reg" subkey="r">essors even if over-specified. In this case, the empirical sizes of both tests are close to the nominal ones, whether a</field>
      <field key="sta" subkey="t">ionary or a cointegration environment is considered. The CUSUM-of-squares test is to be preferred, as it is very powerful to</field>
      <field key="det" subkey="e">ct changes in the conditional model parameters, whether or not the variance of the regression error is included in the set of</field>
      <field key="par" subkey="a">meters shifting, especially towards the end of the sample.;</field>
    </SEQUENTIAL>
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