Schwarz information criterion based tests for a change-point in regression models |
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Authors: | Konrad Nosek |
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Institution: | 1. AGH University of Science and Technology, Faculty of Applied Mathematics, al. Mickiewicza 30, 30-059, Cracow, Poland
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Abstract: | Standard Schwarz information criterion for testing a change-point in regression models is considered and two new test procedures
are evolved. The case of small sample size is investigated. Numerical approximations to the power against various alternatives
are given and compared with powers of tests based on r-ahead recursive residuals and of the CUSUM of squares test. Application of these procedures to some real data is also provided. |
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Keywords: | |
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