WEIGHTED AVERAGE POWER SIMILAR TESTS FOR STRUCTURAL CHANGE IN THE GAUSSIAN LINEAR REGRESSION MODEL

Giovanni Forchini

Econometric Theory, 2008, vol. 24, issue 05, pages 1277-1290

Abstract: Average exponential F tests for structural change in a Gaussian linear regression model and modifications thereof maximize a weighted average power that incorporates specific weighting functions to make the resulting test statistics simple. Generalizations of these tests involve the numerical evaluation of (potentially) complicated integrals. In this paper, we suggest a uniform Laplace approximation to evaluate weighted average power test statistics for which a simple closed form does not exist. We also show that a modification of the avg-F test is optimal under a very large class of weighting functions and can be written as a ratio of quadratic forms so that both its p-values and critical values are easy to calculate using numerical algorithms.

Date: 2008

Downloads: (external link)
http://journals.cambridge.org/abstract_S026646660808050X 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:24:y:2008:i:05:p:1277-1290_08

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 ().