Variance estimation in the change analysis of a linear regression model

DOI10.1007/S001840100128MaRDI QIDQ1865226zbMATH OpenOpenAlexFDO

Authors M. Riedle, J. G. Steinebach

Publication date 25 March 2003

Published in Metrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s001840100128

Mathematics Subject Classification ID

Asymptotic properties of parametric tests (62F05) Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05)

Review text

We study a ``direct test of \textit{C.-S. Chu} and \textit{H. White} [J. Bus. Econ. Stat. 10, 289--299 (1992)] proposed for detecting changes in the trend of a linear regression model. The power of this test strongly depends on a suitable estimation of the variance of the error variables involved. We discuss various types of variance estimators and derive their asymptotic properties under the null-hypothesis of no change as well as under the alternative of a change in linear trend. A small simulation study illustrates the estimators' finite sample behaviour.

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Cited in

(2)

• Some simple LM tests against multiple changes of variance in linear regression
• Variance estimation free tests for structural changes in regression

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