Optimal Changepoint Tests for Normal Linear Regression

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. Power comparisons of several tests are provided based on simulations.

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Year of publication:	1992-04
Authors:	Andrews, Donald W.K. ; Lee, Inpyo ; Ploberger, Werner
Institutions:	Cowles Foundation for Research in Economics, Yale University
Subject:	Optimal test \| multiple changepoints \| structural change test

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Extent:	application/pdf
Series:	Cowles Foundation Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	CFP 925. Published in Journal of Econometrics (1996), 70: 9-38 The price is None Number 1016 32 pages
Classification:	C12 - Hypothesis Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005634710