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Detecting a change in the intercept in multiple regression

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  • Watson, G. S.

Abstract

To detect a change at some unknown time in the constant term of a multiple regression, an obvious statistic is the ratio c2 of the sum of squares of the partial sums of the residuals to their sum of squares. We show how the methods of Durbin and Watson (1950) can be used to find the true and an approximate significance points of c2, and computable bounds for the true points.

Suggested Citation

  • Watson, G. S., 1995. "Detecting a change in the intercept in multiple regression," Statistics & Probability Letters, Elsevier, vol. 23(1), pages 69-72, April.
    • Handle: RePEc:eee:stapro:v:23:y:1995:i:1:p:69-72
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    References listed on IDEAS

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    1. Ashish Sen & S. Srivastava, 1975. "On tests for detecting change in mean when variance is unknown," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 27(1), pages 479-486, December.
    2. B. P. M. McCabe & M. J. Harrison, 1980. "Testing the Constancy of Regression Relationships Over Time Using Least Squares Residuals," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 29(2), pages 142-148, June.
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