BACKWARD CUSUM FOR TESTING AND MONITORING STRUCTURAL CHANGE WITH AN APPLICATION TO COVID-19 PANDEMIC DATA
نویسندگان
چکیده
It is well known that the conventional cumulative sum (CUSUM) test suffers from low power and large detection delay. In order to improve of test, we propose two alternative statistics. The backward CUSUM detector considers recursive residuals in reverse chronological order, whereas stacked sequentially cumulates a triangular array backwardly cumulated residuals. A multivariate invariance principle for partial sums given, limiting distributions statistics are derived under local alternatives. retrospective context, tests shown be substantially higher than if break occurs middle or at end sample. When applied monitoring schemes, delay found much shorter procedure. Furthermore, an estimator date based on show exercises this tends outperform usual maximum likelihood estimator. Finally, application methodology COVID-19 data presented.
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ژورنال
عنوان ژورنال: Econometric Theory
سال: 2022
ISSN: ['1469-4360', '0266-4666']
DOI: https://doi.org/10.1017/s0266466622000159