Optimal changepoint tests for normal linear regression
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Publication:1906286
DOI10.1016/0304-4076(94)01682-8zbMATH Open0834.62066OpenAlexW1986806499MaRDI QIDQ1906286FDOQ1906286
Authors: Donald W. K. Andrews, Inpyo Lee, Werner Ploberger 
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
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simulationscointegrationmultiple change pointsoptimal testsknown variancefinite-sample optimal testsnormal linear multiple regression modelstructural change test
Cites Work
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Cited In (44)
- Bayesian multiple structural change-points estimation in time series models with genetic algorithm
- Small sample properties of forecasts from autoregressive models under structural breaks
- Structural change and unit roots
- Detecting for smooth structural changes in GARCH models
- Optimal forecasts in the presence of structural breaks
- Testing for structural change in cointegrated regression models: some comparisons and generalizations
- OPTIMAL SIMILAR TESTS FOR STRUCTURAL CHANGE FOR THE LINEAR REGRESSION MODEL
- Estimating restricted structural change models
- Selection of estimation window in the presence of breaks
- Title not available (Why is that?)
- Confidence sets for the date of a single break in linear time series regressions
- Efficient estimation and inference in cointegrating regressions with structural change
- Generalized linear-quadratic model with a change point due to a covariate threshold
- Likelihood ratio tests for multiple structural changes
- Estimation and testing of Euler equation models with time-varying reduced-form coefficients
- Model selection criteria in multivariate models with multiple structural changes
- Testing for structural change in regression quantiles
- Testing for shifts in mean with monotonic power against multiple structural changes
- Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope
- Improved confidence sets for the date of a structural break
- Testing structural stability with endogenous breakpoint. A size comparison of analytic and bootstrap procedures
- Bootstrap methods for single structural change tests: power versus corrected size and empirical illustration
- Testing for parameter constancy in the time series direction in panel data models
- Asymptotically optimal tests and optimal designs for testing the mean in regression models with applications to change-point problems
- Estimating nonlinear regression with and without change-points by the LAD method
- Detection of spatial change points in the mean and covariances of multivariate simultaneous autoregressive models
- Optimal inferences for proportional hazards model with parametric covariate transformations
- Improving the finite sample performance of tests for a shift in mean
- Selection of an estimation window in the presence of data revisions and recent structural breaks
- Mixtures of regressions with changepoints
- Testing for structural breaks in dynamic factor models
- Time-varying cointegration
- Testing for Nonstationarity Using Maximum Entropy Resampling: A Misspecification Testing Perspective
- Impact of population aging on consumption and saving in Thailand: structural break approach
- Testing for multiple structural changes with non-homogeneous regressors
- On the Use of the Flexible Fourier Form in Unit Root Tests, Endogenous Breaks, and Parameter Instability
- OPTIMAL TESTS FOR NESTED MODEL SELECTION WITH UNDERLYING PARAMETER INSTABILITY
- MSE superiority of the unrestricted Stein-rule estimator in a regression model with a possible structural break
- Abrupt change in mean using block bootstrap and avoiding variance estimation
- Parametric and semi-parametric efficient tests for parameter instability
- Approximations to the \(p\)-values of tests for a change-point under non-standard conditions
- Tests for a Unit Root Using Three-Regime TAR Models: Power Comparison and Some Applications
- Critical values for multiple structural change tests
- The generalized fluctuation test: A unifying view
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