Exact tests for structural change in first-order dynamic models. (English) Zbl 0834.62051
Summary: Several finite-sample tests of parameter constancy against the presence of structural change are proposed for a linear regression model with one lagged dependent variable and independent normal disturbances. The procedures derived include analysis-of-covariance, CUSUM, CUSUM-of- squares, and predictive tests. The approach used to obtain the tests involves the application of three techniques: derivation of an exact confidence set for the autoregressive parameter (based on using an appropriately extended regression), a union-intersection technique, and (when required) randomization. The tests proposed are illustrated with some artificial data and applied to a dynamic trend model of gross private domestic investment in the U.S.
MSC:
| 62H15 | Hypothesis testing in multivariate analysis |
| 62M10 | Time series, auto-correlation, regression, etc. in statistics (GARCH) |
| 62J05 | Linear regression; mixed models |
| 62F03 | Parametric hypothesis testing |
| 62P20 | Applications of statistics to economics |
Keywords:
exact inference; first-order autoregressive model; finite-sample tests of parameter constancy; structural change; independent normal disturbances; analysis-of-covariance; CUSUM; CUSUM-of-squares; predictive tests; union- intersection technique; randomization; dynamic trend modelReferences:
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