2020
DOI: 10.1111/sjos.12507
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Detecting early or late changes in linear models with heteroscedastic errors

Abstract: We construct and study a test to detect possible change points in the regression parameters of a linear model when the model errors and covariates may exhibit heteroscedasticity. Being based on a new trimming scheme for the CUSUM process introduced in Horváth et al. (2020), this test is particularly well suited to detect changes that might occur near the endpoints of the sample. A complete asymptotic theory for the test is developed under the null hypothesis of no change in the regression parameter, and consis… Show more

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Cited by 2 publications
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References 26 publications
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