Multiple hypothesis test for parameter constancy based on recursive residuals

DOI10.1080/07474939708800391zbMATH Open0892.62039OpenAlexW1992730626MaRDI QIDQ4355161FDOQ4355161

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

Recommendations

• A modified CUSUM test for orthogonal structural changes
• Testing the constancy of regression parameters against continuous structural change
• Testing for Parameter Constancy in Linear Regressions: An Empirical Distribution Function Approach
• A new test for structural stability in the linear regression model
• THE CUSUM TESTS WITH NONPARAMETRIC REGRESSION RESIDUALS

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)

Cites Work

• Sequential analysis. Tests and confidence intervals
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• MOSUM tests for parameter constancy
• The Use of MOSUMS for Quality Control
• Testing for Structural Change in Dynamic Models
• Title not available (Why is that?)

Cited In (2)

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

This page was built for publication: Multiple hypothesis test for parameter constancy based on recursive residuals

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4355161)