Testing for structural change in the dynamic adjustment model with autoregressive errors
β Scribed by Kien C. Tran
- Publisher
- Springer-Verlag
- Year
- 1999
- Tongue
- English
- Weight
- 108 KB
- Volume
- 24
- Category
- Article
- ISSN
- 0377-7332
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## Abstract The power of Chow, linear, predictive failure and cusum of squares tests to detect structural change is compared in a twoβvariable random walk model and a onceβforβall parameter shift model. In each case the linear test has greatest power, followed by the Chow test. It is suggested that