Optimal changepoint tests for normal linear regression

Donald W.K. Andrews; Inpyo Lee; Werner Ploberger

doi:10.1016/0304-4076(94)01682-8

Optimal changepoint tests for normal linear regression

Donald W.K. Andrews, Inpyo Lee, Werner Ploberger

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150 Scopus citations

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. It is shown that the results cover some models of cointegration. Power comparisons of several tests are provided based on simulations.

Original language	English
Pages (from-to)	9-38
Number of pages	30
Journal	Journal of Econometrics
Volume	70
Issue number	1
DOIs	https://doi.org/10.1016/0304-4076(94)01682-8
State	Published - Jan 1996

Keywords

Changepoint test
Linear regression
Multiple changepoints
Optimal test
Structural change test

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10.1016/0304-4076(94)01682-8

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title = "Optimal changepoint tests for normal linear regression",

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. It is shown that the results cover some models of cointegration. Power comparisons of several tests are provided based on simulations.",

keywords = "Changepoint test, Linear regression, Multiple changepoints, Optimal test, Structural change test",

author = "Andrews, \{Donald W.K.\} and Inpyo Lee and Werner Ploberger",

year = "1996",

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AB - 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. It is shown that the results cover some models of cointegration. Power comparisons of several tests are provided based on simulations.

KW - Changepoint test

KW - Linear regression

KW - Multiple changepoints

KW - Optimal test

KW - Structural change test

UR - https://www.scopus.com/pages/publications/0003021285

U2 - 10.1016/0304-4076(94)01682-8

DO - 10.1016/0304-4076(94)01682-8

M3 - Article

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VL - 70

SP - 9

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JO - Journal of Econometrics

JF - Journal of Econometrics

IS - 1

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Optimal changepoint tests for normal linear regression

Abstract

Keywords

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