WEIGHTED AVERAGE POWER SIMILAR TESTS FOR STRUCTURAL CHANGE IN THE GAUSSIAN LINEAR REGRESSION MODEL

B-Tier
Journal: Econometric Theory
Year: 2008
Volume: 24
Issue: 5
Pages: 1277-1290

Score contribution per author:

2.011 = (α=2.01 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

Average exponential F tests for structural change in a Gaussian linear regression model and modifications thereof maximize a weighted average power that incorporates specific weighting functions to make the resulting test statistics simple. Generalizations of these tests involve the numerical evaluation of (potentially) complicated integrals. In this paper, we suggest a uniform Laplace approximation to evaluate weighted average power test statistics for which a simple closed form does not exist. We also show that a modification of the avg-F test is optimal under a very large class of weighting functions and can be written as a ratio of quadratic forms so that both its p-values and critical values are easy to calculate using numerical algorithms.

Technical Details

RePEc Handle
repec:cup:etheor:v:24:y:2008:i:05:p:1277-1290_08
Journal Field
Econometrics
Author Count
1
Added to Database
2026-01-25