Optimal changepoint tests for normal linear regression

DOI10.1016/0304-4076(94)01682-8zbMath0834.62066OpenAlexW1986806499MaRDI QIDQ1906286

Werner Ploberger, Donald W. K. Andrews, Inpyo Lee

Publication date: 8 April 1996

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d10/d1016.pdf

zbMATH Keywords

cointegrationsimulationsoptimal testsmultiple change pointsknown variancefinite-sample optimal testsnormal linear multiple regression modelstructural change test

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03)

Related Items (41)

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Cites Work

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