Multiple hypothesis test for parameter constancy based on recursive residuals

DOI10.1080/07474939708800391MaRDI QIDQ4355161zbMATH OpenOpenAlexFDO

Authors Chia-Shang James Chu

Publication date 17 September 1997

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474939708800391

zbMATH Keywords

multiple hypothesis testingstructural changeCUSUM testrecursive \(t\) test

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Sequential statistical analysis (62L10)

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Cites work

• scientific article; zbMATH DE number 3714796 (Why is no real title available?)
• MOSUM tests for parameter constancy
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Sequential analysis. Tests and confidence intervals
• Testing for Structural Change in Dynamic Models
• The Use of MOSUMS for Quality Control

Cited in

(2)

• A residual-based multivariate constant correlation test
• Modified residual CUSUM test for location-scale time series models with heteroscedasticity

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