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Testing the Constancy of Regression Relationships Over Time Using Least Squares Residuals
Author(s) -
McCabe B. P. M.,
Harrison M. J.
Publication year - 1980
Publication title -
journal of the royal statistical society: series c (applied statistics)
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.205
H-Index - 72
eISSN - 1467-9876
pISSN - 0035-9254
DOI - 10.2307/2986299
Subject(s) - statistics , regression analysis , mathematics , regression , least squares function approximation , econometrics , geography , estimator
S ummary A test of the stability over time of the coefficients of a linear regression model is developed using the cumulative sum (cusum) of squares of the ordinary least squares residuals. An example of the application of the test is given. The power of the test under two systems of coefficient variation is examined using Monte Carlo simulation and compared with the power of the original Brown–Durbin–Evans variant of the test based on recursive residuals.