Abstract
We test for structural change in the linear regression model when both the number and the timing of possible structural shifts are unknown. We compare the Ploberger-Kra’mer-Kontrus (1987) ‘Fluctuation Test’ to the Brown-Durbin-Evans (1975) CUSUM test and find that the former does better for many alternatives.
Research supported by Deutsche Forschungsgemeinschaft (DFG). We are grateful to the Canadian Econometric Study Group, in particular Robin Carter and Lonnie Magee, for many helpful suggestions and comments. The paper has also benefited a lot from a very thorough refereeing process. Remaining errors are our own. All computations were done with the Institute for Advanced Studies’ IAS-SYSTEM econometric software package.
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References
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© 1989 Springer Science+Business Media Dordrecht
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Krämer, W., Ploberger, W., Kontrus, K. (1989). A Comparison of two Significance Tests for Structural Stability in the Linear Regression Model. In: Raj, B. (eds) Advances in Econometrics and Modelling. Advanced Studies in Theoretical and Applied Econometrics, vol 15. Springer, Dordrecht. https://doi.org/10.1007/978-94-015-7819-6_11
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DOI: https://doi.org/10.1007/978-94-015-7819-6_11
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