Title

A Sequential Testing Procedure for Outliers and Structural Change

Publication Type

Journal Article

Publication Date

1988

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.

Discipline

Economics

Research Areas

Econometrics

Publication

Econometric Reviews

Volume

7

Issue

1

First Page

103

Last Page

111

ISSN

0747-4938

Identifier

10.1080/07474938808800145

Publisher

Taylor and Francis

Additional URL

http://dx.doi.org/10.1080/07474938808800145

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