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Transformations for an Exact Goodness-of-Fit Test of Structural Change in the Linear Regression Model

  • Maxwell L. King
  • Phillip M. Edwards
Conference paper
Part of the Studies in Empirical Economics book series (STUDEMP)

Abstract

This paper considers testing for structural change of unknown form in the linear regression model as a problem of testing for goodness-of-fit. Transformations of recursive (or other LUS) residuals that reduce the problem to one of testing independently distributed uniform variables are presented. Exact empirical distribution function tests can then be applied without having to estimate unknown parameters. The tests are illustrated by their application to a money demand model.

Keywords

Linear Regression Model American Statistical Association Empirical Distribution Function Classical Linear Regression Recursive Residual 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Physica-Verlag Heidelberg 1989

Authors and Affiliations

  • Maxwell L. King
    • 1
  • Phillip M. Edwards
    • 1
  1. 1.Monash UniversityClaytonAustralia

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