On Testing for the Constancy of Regression Coefficients under Random Walk and Change-Point Alternatives

Venkata K. Jandhyala · Ian B. MacNeill

19 citations0/0 files storedEconometric Theory

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

Abstract

The locally best invariant statistic to test for the constancy of regression coefficients under a random walk alternative is shown to be the same as a Bayesian-type statistic derived under a change-point alternative. Asymptotic theory for this and more general statistics is discussed.

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References

1964Estimating the Current Mean of a Normal Distribution which is Subjected to Changes in Time 1975On Tests for Detecting Change in Mean 1975A Bayesian approach to inference about a change-point in a sequence of random variables 1969On Detecting Changes in the Mean of Normal Variates 1978Properties of Sequences of Partial Sums of Polynomial Regression Residuals with Applications to Tests for Change of Regression at Unknown Times 1980Linear prediction and estimation methods for regression models with stationary stochastic coefficients 1977Tests for Variance Shift at an Unknown Time Point 1974Tests for Change of Parameter at Unknown Times and Distributions of Some Related Functionals on Brownian Motion

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2002Off-Line Statistical Process Control 2013Inference for single and multiple change-points in time series 1993Distributions of Bayes-type change-point statistics under polynomial regression 2000Changepoint Tests Designed for the Analysis of Hiring Data Arising in Employment Discrimination Cases 2008Asymptotic study of the change-point mle in multivariate Gaussian families under contiguous alternatives

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