Multiple hypothesis test for parameter constancy based on recursive residuals

Chia-Shang James Chu

Econometric Reviews, 1997, vol. 16, issue 3, 353-360

Abstract: This article presents a multiple hypothesis test procedure that combines two well known tests for structural change in the linear regression model, the CUSUM test and the recursive t test. The CUSUM test is run through the sequence of recursive residuals as usual; if the CUSUM plot does not violate the critical lines, one more step is taken to perform the t test for hypothesis of zero mean based on all recursive residuals. The asymptotic size of this multiple hypothesis test is derived; power simulation results suggest that it outperforms the traditional CUSUM test and complements other tests that are currently stressed in econometrics.

Keywords: CUSUM test; multiple hypothesis testing; structural change (search for similar items in EconPapers)
Date: 1997
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/07474939708800391 (text/html)
Access to full text is restricted to subscribers.

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:taf:emetrv:v:16:y:1997:i:3:p:353-360

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/LECR20

DOI: 10.1080/07474939708800391

Access Statistics for this article

Econometric Reviews is currently edited by Dr. Essie Maasoumi

More articles in Econometric Reviews from Taylor & Francis Journals
Bibliographic data for series maintained by ().