Optimal changepoint tests for normal linear regression

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

1996-01-01articleJournal of Econometrics304 citationshybrid

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Advanced Statistical Process Monitoring Statistical Methods and Inference Advanced Statistical Methods and Models

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.

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References

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