Techniques for Testing the Constancy of Regression Relationships over Time
Опубликовано на портале: 06-04-2004
Journal of the Royal Statistical Society. Series B (Methodological).
1975.
Vol. 37.
No. 2.
P. 149-192.
Тематический раздел:
Methods for studying the stability over time of regression relationships are considered.
Recursive residuals, defined to be uncorrelated with zero means and constant variance,
are introduced and tests based on the cusum and cusum of squares of recursive residuals
are developed. Further techniques based on moving regressions, in which the regression
model is fitted from a segment of data which is moved along the series, and on regression
models whose coefficients are polynomials in time are studied. The Quandt log-likelihood
ratio statistic is considered. Emphasis is placed on the use of graphical methods.
The techniques proposed have been embodied in a comprehensive computer program, TIMVAR.
Use of the techniques is illustrated by applying them to three sets of data.
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См. также:
Journal of the Royal Statistical Society. Series B (Methodological).
1969.
Vol. 31.
No. 2.
P. 350-371.
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