CFDP 1016
Optimal Changepoint Tests for Normal Linear Regression
Author(s):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