Document Type
Discussion Paper
Publication Date
4-1-1992
CFDP Number
1016
CFDP Pages
32
Abstract
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. Power comparisons of several tests are provided based on simulations.
Recommended Citation
Andrews, Donald W.K.; Lee, Inpyo; and Ploberger, Werner, "Optimal Changepoint Tests for Normal Linear Regression" (1992). Cowles Foundation Discussion Papers. 1259.
https://elischolar.library.yale.edu/cowles-discussion-paper-series/1259