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Optimal changepoint tests for normal linear regression
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DOI：10.1016/0304-4076(94)01682-8.png)
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Abstract
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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.
Keywords:
changepoint test
linear regression
multiple changepoints
optimal test
structural change test
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