On Locating and Characterizing Parameter Variation by the Mosumsq Test Statistic
作者:
Birgitta Törnkvist,
期刊:
Communications in Statistics - Simulation and Computation
(Taylor Available online 1990)
卷期:
Volume 19,
issue 4
页码: 1247-1264
ISSN:0361-0918
年代: 1990
DOI:10.1080/03610919008812914
出版商: Marcel Dekker, Inc.
关键词: structural change;parameter variation;MOSUMSQ test;parameter characterization
数据来源: Taylor
摘要:
In modelling a system structure it is often important to test the constancy of the structural parameters. If the hypothesis of constant parameters is rejected we wish to characterize the parameter variation. In this paper we examine the usefulness of the MOSUMSQ test statistics for locating and characterizing the parameter variation in linear regression models. The means and the variances of the test statistics are given for non-random parameter variation. The observed path of the MOSUMSQ test statistics provides valuable knowledge about the time of the onset of the parameter change and whether it is instantaneous or gradual.
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