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Multiple hypothesis test for parameter constancy based on recursive residuals

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  • Chia-Shang James Chu

Abstract

This article presents a multiple hypothesis test procedure that combines two well known tests for structural change in the linear regression model, the CUSUM test and the recursive t test. The CUSUM test is run through the sequence of recursive residuals as usual; if the CUSUM plot does not violate the critical lines, one more step is taken to perform the t test for hypothesis of zero mean based on all recursive residuals. The asymptotic size of this multiple hypothesis test is derived; power simulation results suggest that it outperforms the traditional CUSUM test and complements other tests that are currently stressed in econometrics.

Suggested Citation

  • Chia-Shang James Chu, 1997. "Multiple hypothesis test for parameter constancy based on recursive residuals," Econometric Reviews, Taylor & Francis Journals, vol. 16(3), pages 353-360.
    • Handle: RePEc:taf:emetrv:v:16:y:1997:i:3:p:353-360
    DOI: 10.1080/07474939708800391
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