✦ LIBER ✦

Some comparisons of the relative power of simple tests for structural change in regression models

✍ Scribed by Michael Bleaney

Publisher: John Wiley and Sons
Year: 1990
Tongue: English
Weight: 490 KB
Volume: 9
Category: Article
ISSN: 0277-6693
DOI: 10.1002/for.3980090503

No coin nor oath required. For personal study only.

✦ Synopsis

Abstract

The power of Chow, linear, predictive failure and cusum of squares tests to detect structural change is compared in a two‐variable random walk model and a once‐for‐all parameter shift model. In each case the linear test has greatest power, followed by the Chow test. It is suggested that the linear test be used as the basic general test for structural change in time series data, and tests of forecasting performance be confined to the last few observations. Analysis of recursive residuals and recursive parameter estimates should be regarded as forms of exploratory data analysis and tools for understanding discrepancies with previous results rather than a basis for formal tests of structural change.

📜 SIMILAR VOLUMES

A Comparison of Weighted Tests for a Slo

A Comparison of Weighted Tests for a Slope Change in Simple Regression

✍ Abd-Elnaser S. Abd-Rabou; Emad-Eldin A. A. Aly 📂 Article 📅 2000 🏛 John Wiley and Sons 🌐 English ⚖ 77 KB 👁 2 views

Testing for a change in the slope of the simple linear regression model has many applications in biosciences, quality control and survival analysis. This paper compares Anderson-Darling and Erdo ´s-Darling type test statistics which are based on the least squares change point process of Sen (1980) w

Sample size determination for the compar

Sample size determination for the comparison of the regression coefficient with a constant in the case of simple linear regression model II

✍ J. Bock 📂 Article 📅 1977 🏛 John Wiley and Sons 🌐 English ⚖ 192 KB 👁 2 views