Testing for changes in polynomial regression

Details Testing for changes in polynomial regression Testing for changes in polynomial regression

2008-10-22

arxiv.org/abs/0810.4012v1

Bernoulli 2008, Vol. 14, No. 3, 637-660

Mathematics

Statistics Theory

Published in at http://dx.doi.org/10.3150/08-BEJ122 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statisti

Scientific paper

10.3150/08-BEJ122

We consider a nonlinear polynomial regression model in which we wish to test the null hypothesis of structural stability in the regression parameters against the alternative of a break at an unknown time. We derive the extreme value distribution of a maximum-type test statistic which is asymptotically equivalent to the maximally selected likelihood ratio. The resulting test is easy to apply and has good size and power, even in small samples.

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