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.
Andrews, Donald W.K.; Lee, Inpyo; and Ploberger, Werner, "Optimal Changepoint Tests for Normal Linear Regression" (1992). Cowles Foundation Discussion Papers. 1259.