The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Optimal changepoint tests for normal linear regression
Open accessAbstract
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.
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Citations
Cites
Tests for parameter instability and structural change with unknown change point.
Andrews, D. W. K. (1993) · Econometrica · doi:10.2307/2951764 · Cited by 4,334
Self-citation
Cited by
Computation and analysis of multiple structural change models
Bai, J., & Perron, P. (2003) · Journal of Applied Econometrics · doi:10.1002/jae.659 · Cited by 5,771
Critical values for multiple structural change tests
Bai, J., & Perron, P. (2003) · The Econometrics Journal · doi:10.1111/1368-423x.00102 · Cited by 854
A general test for time dependence in parameters
Becker, R., Enders, W., & Hurn, S. (2004) · Journal of Applied Econometrics · doi:10.1002/jae.751 · Cited by 257
Metadata
- Authors
- Andrews, D. W. K., Lee, I., & Ploberger, W.
- Venue
- Journal of Econometrics
- Publisher
- Elsevier BV
- Published
- 1996-01
- Volume
- 70
- Issue
- 1
- Pages
- 9-38
- ISSN
- 0304-4076 (ISSN-L)
- OpenAlex
- W1986806499
- Cited by
- 304
- References
- 1
- FWCI
- 9.63
- Type
- journal article
- Language
- en
- Open access
- hybrid
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- CoChat. (2026). Citation check: Optimal changepoint tests for normal linear regression. https://app.cochat.ai/papers/10.1016/0304-4076(94)01682-8
- The paper
- Andrews, D. W. K., Lee, I., & Ploberger, W. (1996). Optimal changepoint tests for normal linear regression. Journal of Econometrics. https://doi.org/10.1016/0304-4076(94)01682-8
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
