结构变化检验的近似渐近P值

Approximate AsymptoticPValues for StructuraS-Change Tests

Journal of Business & Economic Statistics · 1997
被引 527 · 同刊同年前 1%
人大 AABS 4

中文导读

给出了近期提出的结构变化检验的渐近分布的数值近似,便于准确计算渐近p值,并提供了GAUSS程序。

Abstract

Abstract Numerical approximations to the asymptotic distributions of recently proposed tests for structural change are presented. This enables easy yet accurate calculation of asymptotic p values. A GAUSS program is available to perform the computations. KEY WORDS: Changepoint estimatorsNonstandard distributionsQuandt test

结构变化检验渐近分布P值近似变点估计