Detection of structural changes in generalized linear models

Some results on testing for changes in generalized linear models are presented and approximations to the critical values developed. Procedure is illustrated on simulated data.

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Year of publication:	2004
Authors:	Antoch, Jaromír ; Gregoire, Gérard ; Jarusková, Daniela
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 69.2004, 3, p. 315-332
Publisher:	Elsevier
Keywords:	Generalized linear models Structural changes Hypotheses testing Maximum of score statistics

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005138075