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
Citation
McAleer, Michael and TSE, Yiu Kuen.
A Sequential Testing Procedure for Outliers and Structural Change. (1988). Econometric Reviews. 7, (1), 103-111.
Available at: https://ink.library.smu.edu.sg/soe_research/357
Additional URL
https://doi.org/10.1080/07474938808800145