A new test for structural stability in the linear regression model

DOI10.1016/0304-4076(89)90087-0zbMath0668.62045OpenAlexW1973083259MaRDI QIDQ1118297

Werner Ploberger, Karl Kontrus, Walter Kramer

Publication date: 1989

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

Full work available at URL: https://doi.org/10.1016/0304-4076(89)90087-0

zbMATH Keywords

power limiting null distribution CUSUM of squares tests new test for the constancy of regression coefficients

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Hypothesis testing in multivariate analysis (62H15)

Related Items

Small sample properties of forecasts from autoregressive models under structural breaks, Testing for structural change in regression with long memory processes, Implementing the fluctuation and moving-estimates tests in dynamic econometric models, Testing the constancy of regression parameters against continuous structural change, Selection of estimation window in the presence of breaks, TESTING FOR A CHANGE IN CORRELATION AT AN UNKNOWN POINT IN TIME USING AN EXTENDED FUNCTIONAL DELTA METHOD, Multiple break detection in the correlation structure of random variables, A fluctuation test for constant Spearman's rho with nuisance-free limit distribution, A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change, Monitoring changes in linear models, Methods of analyzing nonstationary time series with implicit changes in their properties, Time series segmentation: A sliding window approach, Measuring the degree of convergence among European business cycles, A trend-resistant test for structural change based on OLS residuals, Structural change and unit roots, An evaluation of some methods used for determination of homogenous structural break point in mean of panel data, Structural change test in duration of bull and bear markets, Stability tests in error correction models, Sequential testing with uniformly distributed size, Tests for changes in models with a polynomial trend, Reducing confidence bands for simulated impulse responses, On the application of new tests for structural changes on global minimum-variance portfolios, Likelihood-based tests for parameter constancy in \(I(2)\) CVAR models with an application to fixed-term deposit data, A new fluctuation test for constant variances with applications to finance, The generalized fluctuation test: A unifying view, Detecting parameter shift in garch models, A cusum test in the linear regression model with serially correlated disturbances, Bayesian modelling of time-varying conditional heteroscedasticity, Nonparametric partially random sequential test under Phase II sampling: An illustration to monitor water samples for arsenic contamination, Testing for Nonstationarity Using Maximum Entropy Resampling: A Misspecification Testing Perspective, A residual based test for the null hypothesis of cointegration., U.S. money demand instability. A flexible least squares approach, A Unified Approach to Structural Change Tests Based on ML Scores,FStatistics, and OLS Residuals, Recursive estimation in econometrics, Testing and dating of structural changes in practice, Robust inference in nonstationary time series models, Inference of time-varying regression models, Some partially sequential nonparametric tests for detecting linear trend, Testing parameter constancy in models with infinite variance errors., Semi-Sequential One-Shot Monitoring of Small Disorders With Controlled Type I Error Rate, Kolmogorov–Smirnov, Fluctuation, and Z_gTests for Convergence of Markov Chain Monte Carlo Draws, Unnamed Item, Tests for the Null Hypothesis of Cointegration: A Monte Carlo Comparison, A comparison between tests for changes in the adjustment coefficients in cointegrated systems, Generalized runs tests for the IID hypothesis, Does modeling a structural break improve forecast accuracy?, Controlling Type-I Error Rate in Monitoring Structural Changes Using Partially Sequential Procedures, Some Rank-Based Two-Phase Procedures in Sequential Monitoring of Exchange Rate, Alternative Tests for Parameter Stability, Unnamed Item, Change‐point monitoring in linear models, CUSUM-type testing for changing parameters in a spatial autoregressive model for stock returns, On the Transmission Mechanism of Monetary Policy, A TEST FOR STATIONARITY VERSUS TRENDS AND UNIT ROOTS FOR A WIDE CLASS OF DEPENDENT ERRORS, Time-varying nonlinear regression models: nonparametric estimation and model selection, A Gibbs Sampling Algorithm for a Changing Regression Model with Pooled Binary Response Data, Dynamic linear models with Markov-switching, A note on tests for partial parameter instability in the trend stationary model., Simultaneous inference for time-varying models

Cites Work