Testing for a change point in linear regression models |
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| Authors: | Jie Chen |
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| Institution: | Department of Mathematics and Statistics , University of Missouri-Kansas City , Kansas City, MO, 64110 |
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| Abstract: | In this paper, the Schwarz Information Criterion (SIC) is proposed to locate a change point in the simple linear regression model, as well as in the multiple linear regression model. The method is then applied to a financial data set, and a change point is successfully detected. |
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| Keywords: | Information criterion change point linear regression models |
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