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Transformations for an Exact Goodness-of-Fit Test of Structural Change in the Linear Regression Model

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  • King, Maxwell L
  • Edwards, P M

Abstract

This paper considers testing for structural change of unknown form in the linear regression model as a problem of testing for goodness-of-fit. Transformations of recursive (or other LUS) residuals that reduce the problem to one of testing independently distributed uniform variables are presented. Exact empirical distribution function tests can then be applied without having to estimate unknown parameters. The tests are illustrated by their application to a money demand model.

Suggested Citation

  • King, Maxwell L & Edwards, P M, 1989. "Transformations for an Exact Goodness-of-Fit Test of Structural Change in the Linear Regression Model," Empirical Economics, Springer, vol. 14(2), pages 113-121.
    • Handle: RePEc:spr:empeco:v:14:y:1989:i:2:p:113-21
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    Cited by:

    1. Maxwell L. King & Sivagowry Sriananthakumar, 2015. "Point Optimal Testing: A Survey of the Post 1987 Literature," Monash Econometrics and Business Statistics Working Papers 5/15, Monash University, Department of Econometrics and Business Statistics.

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