Generalized M-fluctuation tests for parameter instability
نویسندگان
چکیده
منابع مشابه
Generalized M-Fluctuation Tests for Parameter Instability
A general class of fluctuation tests for parameter instability in an M-estimation framework is suggested. The tests are based on partial sum processes of M-estimation scores for which functional central limit theorems are derived under the null hypothesis of parameter stability and local alternatives. Special emphasis is given to parameter instability in (generalized) linear regression models a...
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ژورنال
عنوان ژورنال: Statistica Neerlandica
سال: 2007
ISSN: 0039-0402,1467-9574
DOI: 10.1111/j.1467-9574.2007.00371.x