Transformations for an Exact Goodness-of-Fit Test of Structural Change in the Linear Regression Model

Maxwell L. King and Phillip M. Edwards

No 266931, Department of Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: This paper considers testing for structural change of unknown form in the linear regression model as a problem of testing for goodness-of-fit. Transformations of recursive (or other LUS) residuals that reduce the problem to one of testing independently distributed uniform variables are presented. Exact empirical distribution function tests can then be applied without having to estimate unknown parameters. The tests are illustrated by their application to a money demand model.

Keywords: Research; Methods/Statistical; Methods (search for similar items in EconPapers)
Pages: 14
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Persistent link: https://EconPapers.repec.org/RePEc:ags:monebs:266931

DOI: 10.22004/ag.econ.266931

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