Testing the Stability of Regression Coefficients Using Generalized Recursive Residuals

Abstract

Simple but flexible methods to detect deviations from the assumption of constant coefficients in linear regression are presented. Based on recursive residuals a runs test is developed as an alternative to CUSUM-and MOSUM-techniques. Finally a simulation study gives insight into the new method.

Recursive residuals in generalised linear models

“…Other uses and applications are given by Galpin and Hawkins (1984), Haslett (1985), McGilchrist, , Kianifard and Swallow (1989), Trenkler and Michels (1990), Hawkins (1991).…”