CFDP 1016

Optimal Changepoint Tests for Normal Linear Regression


Publication Date: April 1992

Pages: 32


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.


Optimal test, Multiple changepoints, Structural change test

JEL Classification Codes:  C12

See CFP: 925