Abstract

We develop a monitoring procedure for detecting structural changes in models with a trend. The procedure is based on the cumulative sum (CUSUM) of the recursive residuals and a proper boundary function is designed to control the size. The asymptotic distributions and the consistency of the procedure are derived. We compare the CUSUM procedure with the Fluctuation (recursive-estimates) procedure in a small simulation study and the results indicate that neither version is uniformly superior to the other.