Optimal changepoint tests for normal linear regression
Optimal changepoint tests for normal linear regression
复制标题
DOI：
10.1016/0304-4076(94)01682-8
复制
发表时间：
1996-01-01
影响因子：
6.3
通讯作者：
Ploberger, W
中科院分区：
文献类型：
--
作者：
Andrews, DWK;Lee, I;Ploberger, W
本文确定了一类有限样本最优检验，以检验方差已知的正态线性多元回归模型中未知时间是否存在变化点。还导出了多个变化点的最佳测试。结果表明，结果涵盖了一些协整模型。基于模拟提供了几种测试的功率比较。
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.