CFDP 1016

Optimal Changepoint Tests for Normal Linear Regression

Publication Date: April 1992

Pages: 32

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

JEL Classification Codes:  C12

See CFP: 925