Multiple hypothesis test for parameter constancy based on recursive residuals
提出一种结合CUSUM检验和递归t检验的多重假设检验方法，用于检测线性回归模型的结构变化，模拟显示其功效优于传统CUSUM检验。
This article presents a multiple hypothesis test procedure that combines two well known tests for structural change in the linear regression model, the CUSUM test and the recursive t test. The CUSUM test is run through the sequence of recursive residuals as usual; if the CUSUM plot does not violate the critical lines, one more step is taken to perform the t test for hypothesis of zero mean based on all recursive residuals. The asymptotic size of this multiple hypothesis test is derived; power simulation results suggest that it outperforms the traditional CUSUM test and complements other tests that are currently stressed in econometrics.