Diagnostic test for structural change in cointegrated regression models

Kang Hao, Brett Inder

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22 Citations (Scopus)


We derive the asymptotic distribution of the OLS-based CUSUM test in the context of cointegrated regression models and tabulate its critical values. It is also found that the test has non-trivial local power irrespective of the particular type of structure change.

Original languageEnglish
Pages (from-to)179-187
Number of pages9
JournalEconomics Letters
Issue number2
Publication statusPublished - 1 Jan 1996


  • Cointegration
  • CUSUM test
  • Fully modified ordinary least squares
  • Structural change

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