A new test for structural change

Brett Inder, Kang Hao

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2 Citations (Scopus)

Abstract

In this paper we are interested in detecting structural change at an unknown point. We argue that the CUSUM test may not ideal for this, and propose an alternative test. Critical values for this test are determined based on the multiple student t test procedure. A Monte Carlo study suggests that the new test is quite powerful when the structural change occurs in the latter part of the sample. The new test also provides information about the location of structural change.

Original languageEnglish
Pages (from-to)475-482
Number of pages8
JournalEmpirical Economics
Volume21
Issue number3
DOIs
Publication statusPublished - 1 Jan 1996

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