A sequential testing procedure for outliers and structural change |
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Authors: | Michael McAleer Y. K. Tse |
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Affiliation: | a Department of Statistics, Australian National University,b Department of Economics and Statistics, National University of Singapore, |
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Abstract: | In this paper a test for outliers based on externally studentized residuals is shown to be related to a test for predictive failure. The relationships between a test for outliers, a test for a correlated mean shift and a test for an intercept shift are developed. A sequential testing procedure for outliers and structural change is shown to be independent, so that the overall size of the joint test can be determined exactly. It is established that a joint test for outliers and constancy of variances cannot be performed. |
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Keywords: | Predictive Failure Sequences of Independent Tests A Test for Outliers A Test for Structural Change |
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