𝔖 Bobbio Scriptorium
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The independence of tests for structural change in regression models

✍ Scribed by G.D.A. Phillips; B.P. McCabe


Book ID
116099265
Publisher
Elsevier Science
Year
1983
Tongue
English
Weight
214 KB
Volume
12
Category
Article
ISSN
0165-1765

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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 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