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Optimal Changepoint Tests for Normal Linear Regression

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Author Info
Donald W.K. Andrews () (Cowles Foundation, Yale University)
Inpyo Lee (Cowles Foundation, Yale University)
Werner Ploberger (Cowles Foundation, Yale University)

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Abstract

This paper determines a class of finite sample optimal tests for the existence of a changepoint at an unknown time in a normal linear multiple regression model with known variance. Optimal tests for multiple changepoints are also derived. Power comparisons of several tests are provided based on simulations.

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Publisher Info
Paper provided by Cowles Foundation, Yale University in its series Cowles Foundation Discussion Papers with number 1016.

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Length: 32 pages
Date of creation: Apr 1992
Date of revision:
Publication status: Published in Journal of Econometrics (1996), 70: 9-38
Handle: RePEc:cwl:cwldpp:1016

Note: CFP 925.
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Postal: Yale University, Box 208281, New Haven, CT 06520-8281 USA
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Web page: http://cowles.econ.yale.edu/
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Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA

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Related research
Keywords: Optimal test; multiple changepoints; structural change test;

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Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing

References listed on IDEAS
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  1. Andrews, Donald W K & Ploberger, Werner, 1994. "Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative," Econometrica, Econometric Society, vol. 62(6), pages 1383-1414, November. [Downloadable!] (restricted)
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  2. Hansen, B.E., 1991. "Inference when a Nuisance Parameter is Not Identified Under the Null Hypothesis," RCER Working Papers 296, University of Rochester - Center for Economic Research (RCER).
    Other versions:
  3. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-56, July. [Downloadable!] (restricted)
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This page was last updated on 2009-11-9.

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