A Unified Approach to Structural Change Tests Based on ML Scores,FStatistics, and OLS Residuals

DOI10.1080/07474930500406053zbMath1080.62012OpenAlexW2171150778WikidataQ57263849 ScholiaQ57263849MaRDI QIDQ5719302

Achim Zeileis

Publication date: 18 January 2006

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474930500406053

zbMATH Keywords

functional central limit theoremmonitoringstructural changeparameter instabilityfluctuation testaggregation functionalNyblom-Hansen testOLS-based CUSUM testseat belt datasup \(F\) test

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03)

Related Items

A Tree-Based Semi-Varying Coefficient Model for the COM-Poisson Distribution, A toolbox of permutation tests for structural change, Tests of measurement invariance without subgroups: a generalization of classical methods, Early warning CUSUM plans for surveillance of negative binomial daily disease counts, Simulation experiments on the performance of structural change tests in cointegration, Bootstrap methods for single structural change tests: power versus corrected size and empirical illustration, Monitoring scale scores over time via quality control charts, model-based approaches, and time series techniques, Local Fourier tests for structural change based on residuals, Testing, monitoring, and dating structural changes in exchange rate regimes, Generalized random forests, Gaining insight with recursive partitioning of generalized linear models, On the robust detection of edges in time series filtering, Improving EWMA plans for detecting unusual increases in Poisson counts, Structural breaks in time series

Uses Software

• strucchange

Cites Work

• Unnamed Item
• Robust GMM tests for structural breaks
• A note on monitoring time-varying parameters in an autoregression
• Testing and dating of structural changes in practice
• A new test for structural stability in the linear regression model
• Range vs. maximum in the OLS-based version of the CUSUM test
• Alternative boundaries for CUSUM tests
• Monitoring changes in linear models
• A trend-resistant test for structural change based on OLS residuals
• MONITORING STRUCTURAL CHANGES WITH THE GENERALIZED FLUCTUATION TEST
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Testing for Structural Change in Dynamic Models
• Testing for the Constancy of Parameters Over Time
• The Cusum Test with Ols Residuals
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• The Effects of Seat Belt Legislation on British Road Casualties: A Case Study in Structural Time Series Modelling
• Tests For Constancy Of Model Parameters Over Time
• MOSUM tests for parameter constancy
• The generalized fluctuation test: A unifying view
• Monitoring Structural Change
• Optimal Tests for Parameter Instability in the Generalized Method of Moments Framework
• Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes