TESTING THE STABILITY OF REGRESSION COEFFICIENTS USING GENERALIZED RECURSIVE RESIDUALS |
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| Authors: | Paul,Michels Gö tz,Trenkler |
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| Affiliation: | Universität Konstanz and Universität Dortmund;Universität Konstanz, 7750 Konstanz 1, West Germany;Universität Dortmund, 4600 Dortmund 50, West Germany |
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| Abstract: | Simple but flexible methods to detect deviations from the assumption of constant coefficients in linear regression are presented. Based on recursive residuals a runs test is developed as an alternative to CUSUM- and MOSUM-techniques. Finally a simulation study gives insight into the new method. |
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| Keywords: | Linear regression model general recursive residuals CUSUM-and MOSUM-tests misspecification outliers instability |
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