A new test for structural stability in the linear regression model

Werner Ploberger; Walter Krämer; Karl Kontrus

doi:10.1016/0304-4076(89)90087-0

A new test for structural stability in the linear regression model

Werner Ploberger
, Walter Krämer
, Karl Kontrus

Research output: Contribution to journal › Article › peer-review

200 Scopus citations

Abstract

We propose a new test for the constancy of regression coefficients in linear models. The test does not require that possible change points be known. We derive the limiting null distribution of the test statistic, prove that the test has non-trivial power against many local alternatives, and show that it compares favourably to both the CUSUM and CUSUM of squares tests.

Original language	English
Pages (from-to)	307-318
Number of pages	12
Journal	Journal of Econometrics
Volume	40
Issue number	2
DOIs	https://doi.org/10.1016/0304-4076(89)90087-0
State	Published - Feb 1989

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abstract = "We propose a new test for the constancy of regression coefficients in linear models. The test does not require that possible change points be known. We derive the limiting null distribution of the test statistic, prove that the test has non-trivial power against many local alternatives, and show that it compares favourably to both the CUSUM and CUSUM of squares tests.",

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AB - We propose a new test for the constancy of regression coefficients in linear models. The test does not require that possible change points be known. We derive the limiting null distribution of the test statistic, prove that the test has non-trivial power against many local alternatives, and show that it compares favourably to both the CUSUM and CUSUM of squares tests.

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JO - Journal of Econometrics

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A new test for structural stability in the linear regression model

Abstract

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