A new test for structural stability in the linear regression model (Q1118297): Difference between revisions
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Revision as of 18:43, 11 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A new test for structural stability in the linear regression model |
scientific article |
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A new test for structural stability in the linear regression model (English)
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1989
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We propose a new test for the constancy of regression coefficients in linear models. The test does not require that possible change points be known. We derive the limiting null distribution of the test statistic, prove that the test has non-trivial power against many local alternatives, and show that it compares favourably to both the CUSUM and CUSUM of squares tests.
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new test for the constancy of regression coefficients
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limiting null distribution
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power
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CUSUM of squares tests
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