A new test for structural stability in the linear regression model

A new test for structural stability in the linear regression model

We propose a new test for the constancy of regression coefficients in linear models. The test does not require that possible change points be known. We derive the limiting null distribution of the test statistic, prove that the test has non-trivial power against many local alternatives, and show tha...

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Veröffentlicht in:Journal of econometrics 1989-02, Vol.40 (2), p.307-318
Hauptverfasser: Ploberger, Werner, Krämer, Walter, Kontrus, Karl
Format: Artikel
Sprache:eng
Schlagworte:
Econometrics
Economic models
Exact sciences and technology
Fluctuations
Linear inference, regression
Mathematical models
Mathematics
Probability and statistics
Regression analysis
Sciences and techniques of general use
Statistics
Tests
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Beschreibung
Zusammenfassung:We propose a new test for the constancy of regression coefficients in linear models. The test does not require that possible change points be known. We derive the limiting null distribution of the test statistic, prove that the test has non-trivial power against many local alternatives, and show that it compares favourably to both the CUSUM and CUSUM of squares tests.
ISSN:0304-4076
1872-6895
DOI:10.1016/0304-4076(89)90087-0