A Sequential Testing Procedure for Outliers and Structural Change
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.
Taylor and Francis
McAleer, Michael and TSE, Yiu Kuen.
A Sequential Testing Procedure for Outliers and Structural Change. (1988). Econometric Reviews. 7, (1), 103-111. Research Collection School Of Economics.
Available at: http://ink.library.smu.edu.sg/soe_research/357