Some comparisons of tests for a shift in the slopes of a multivariate linear time series model

DOI10.1016/0304-4076(75)90037-8zbMath0318.62074OpenAlexW2058409108MaRDI QIDQ1222493

Timothy W. McGuire, John U. Farley, Melvin J. Hinich

Publication date: 1975

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(75)90037-8

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03) Economic time series analysis (91B84)

Related Items (11)

Testing the constancy of regression parameters against continuous structural change ⋮ Bayesian estimation of the switching regression model with autocorrelated errors ⋮ Some comparisons of tests for a shift in the slopes of a multivariate linear time series model ⋮ Score tests when a nuisance parameter is unidentified under the null hypothesis ⋮ A statistical uncertainty principle for estimating the time of a discrete shift in the mean of a continuous time random process ⋮ Frequency Dependence in Regression Model Coefficients: An Alternative Approach for Modeling Nonlinear Dynamic Relationships in Time Series ⋮ Change-point problems: bibliography and review ⋮ Detecting structural change in linear models ⋮ Testing parameter constancy in linear models against stochastic stationary parameters ⋮ Recursive stability analysis of linear regression relationships. An exploratory methodology ⋮ A Bayesian analysis of some threshold switching models

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