The Korean Journal of Applied Statistics (응용통계연구)

The Korean Statistical Society (한국통계학회)
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Comparison of Structural Change Tests in Linear Regression Models

  • Kim, Jae-Hee (Department of Statistics, Duksung Women's University)
  • Received : 20110800
  • Accepted : 20111000
  • Published : 2011.12.31
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Abstract

The actual power performance of historical structural change tests are compared under various alternatives. The tests of interest are F, CUSUM, MOSUM, Moving Estimates and empirical distribution function tests with both recursive and ordinary least-squares residuals. Our comparison of the structural tests involves limiting distributions under the hypothesis, the ability to detect the alternative hypotheses under one or double structural change, and smooth change in parameters. Even though no version is uniformly superior to the other, the knowledge about the properties of those tests and connections between these tests can be used in practical structural change tests and in further research on other change tests.

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References

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