Optimal changepoint tests for normal linear regression

被引：129

作者：

Andrews, DWK

Lee, I

Ploberger, W

机构：

[1] KOREA TAX INST,SEOUL,SOUTH KOREA

[2] VIENNA TECH UNIV,VIENNA,AUSTRIA

来源：

JOURNAL OF ECONOMETRICS | 1996年 / 70卷 / 01期

基金：

美国国家科学基金会;

关键词：

changepoint test; linear regression; multiple changepoints; optimal test; structural change test;

D O I：

10.1016/0304-4076(94)01682-8

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper determines a class of finite-sample optimal tests for the existence of a changepoint at an unknown time in a normal linear multiple regression model with known variance. Optimal tests for multiple changepoints are also derived. It is shown that the results cover some models of cointegration. Power comparisons of several tests are provided based on simulations.

引用

页码：9 / 38

页数：30

共 23 条

[1] OPTIMAL TESTS WHEN A NUISANCE PARAMETER IS PRESENT ONLY UNDER THE ALTERNATIVE [J].