OPTIMAL SIMILAR TESTS FOR STRUCTURAL CHANGE FOR THE LINEAR REGRESSION MODEL

Giovanni Forchini

Econometric Theory, 2002, vol. 18, issue 04, pages 853-867

Abstract: This paper analyzes similar tests for structural change for the normal linear regression model in finite samples. Using the approach of Wald (1943, American Mathematical Society Transactions 54, 426 482), Hillier (1987, Econometric Theory 3, 1 44), Andrews and Ploberger (1994, Econometrica 62, 1382 1414), and Andrews, Lee, and Ploberger (1996, Journal of Econometrics 70, 9 36), we characterize a class of optimal similar tests for the existence of (possibly multiple) changepoints at unknown times. We extend the analysis of Andrews et al. (1996) by deriving weighted optimal similar tests for the case where the error variance is not known. We also show that when the sample size is large, the tests of Andrews et al. constructed by replacing the error variance with an estimate are equivalent to the optimal test derived in this paper. Power comparisons are provided by a small simulation study.

Date: 2002
View citations in EconPapers

Downloads: (external link)
http://journals.cambridge.org/abstract_S0266466602184027 link to article abstract page (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:18:y:2002:i:04:p:853-867_18

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press
Address: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Series data maintained by Mike Eden ().