Detecting a change in the intercept in multiple regression

G. S. Watson

Statistics & Probability Letters, 1995, vol. 23, issue 1, 69-72

Abstract: To detect a change at some unknown time in the constant term of a multiple regression, an obvious statistic is the ratio c2 of the sum of squares of the partial sums of the residuals to their sum of squares. We show how the methods of Durbin and Watson (1950) can be used to find the true and an approximate significance points of c2, and computable bounds for the true points.

Keywords: Change; point; Least; squares; regression; Durbin-Watson; statistic; Cramer-von; Mises; statistic (search for similar items in EconPapers)
Date: 1995
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/0167-7152(94)00096-Q
Full text for ScienceDirect subscribers only

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: https://EconPapers.repec.org/RePEc:eee:stapro:v:23:y:1995:i:1:p:69-72

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().