OPTIMAL CHANGEPOINT TESTS FOR NORMAL LINEAR-REGRESSION

Authors
ANDREWS DWK LEE I PLOBERGER W
Citation
Dwk. Andrews et al., OPTIMAL CHANGEPOINT TESTS FOR NORMAL LINEAR-REGRESSION, Journal of econometrics, 70(1), 1996, pp. 9-38
Citations number
23
Categorie Soggetti
Social Sciences, Mathematical Methods",Economics,"Mathematical, Methods, Social Sciences
Journal title
Journal of econometrics → ACNP
ISSN journal
03044076
Volume
70
Issue
1
Year of publication
1996
Pages
9 - 38
Database
ISI
SICI code
0304-4076(1996)70:1<9:OCTFNL>2.0.ZU;2-W
Abstract
This paper determines a class of finite-sample optimal tests for the e xistence of a changepoint at an unknown time in a normal linear multip le regression model with known variance. Optimal tests for multiple ch angepoints are also derived. It is shown that the results cover some m odels of cointegration. Power comparisons of several tests are provide d based on simulations.