Optimal Changepoint Tests for Normal Linear Regression

Donald Andrews (), Inpyo Lee and Werner Ploberger
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Inpyo Lee: Cowles Foundation, Yale University, https://cowles.yale.edu/

No 1016, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: This paper determines a class of finite sample optimal tests for the existence of a changepoint at an unknown time in a normal linear multiple regression model with known variance. Optimal tests for multiple changepoints are also derived. Power comparisons of several tests are provided based on simulations.

Keywords: Optimal test; multiple changepoints; structural change test (search for similar items in EconPapers)
JEL-codes: C12 (search for similar items in EconPapers)
Pages: 32 pages
Date: 1992-04
Note: CFP 925.
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Citations: View citations in EconPapers (9)

Published in Journal of Econometrics (1996), 70: 9-38

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Journal Article: Optimal changepoint tests for normal linear regression (1996)
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Persistent link: https://EconPapers.repec.org/RePEc:cwl:cwldpp:1016

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