Publication at Faculty of Mathematics and Physics |
2008
Abstract
We consider a nonlinear polynomial regression model in which we wish to test the null hypothesis of structural stability in the regression parameters against the alternative of a break at an unknown time. We derive the extreme value distribution of a maxímum-type test statistic which is asymptotically equivalent to the maximally selected likelihood ratio.
The resulting test is easy to apply and has good size and power, even in small samples.