Abstract.
We study a “direct test” of Chu and White (1992) proposed for detecting changes in the trend of a linear regression model. The power of this test strongly depends on a suitable estimation of the variance of the error variables involved. We discuss various types of variance estimators and derive their asymptotic properties under the null-hypothesis of “no change” as well as under the alternative of “a change in linear trend”. A small simulation study illustrates the estimators' finite sample behaviour.
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Riedle, M., Steinebach, J. Variance estimation in the change analysis of a linear regression model. Metrika 54, 139–157 (2001). https://doi.org/10.1007/s001840100128
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DOI: https://doi.org/10.1007/s001840100128