Testing for Structural Breaks in Time Series Regressions with Heavy{tailed Disturbances
نویسندگان
چکیده
We investigate the asymptotic behavior of the OLS residual{based CUSUM test for parameter constancy in a dynamic regression with heavy{tailed disturbances. We extend previous results by relaxing the nite{variance assumption and consider disturbances in the domain of attraction of a stable Paretian law. The main result is a functional limit theorem for the self{normalizing CUSUMs of OLS residuals. We report on a simulation study of the resulting prelimiting and limiting processes. Finally, we provide response{surface approximations of critical values for the CUSUM test statistic.
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