Fig. 3

Parameter instability test. The figure plots the cumulative sum of the recursive residuals stemming from the cumulative sum test (CUSUM) suggested by Brown et al. (1975). The continuous line plots the cumulative sum together with the 5% critical lines denoted by the dotted red lines. If the cumulative sum goes outside the area between the two critical lines, it indicates parameter instability. The cumulative sum of the six models (M1–M6) regressed in Table 4 fails to cross the critical (dotted) lines