Abstract
In the empirical analysis of structural changes, Quandt's test for detecting a single change in a regression relationship at an unknown point of time is frequently applied. A limitation regarding the applicability of the method is that the distribution of the Quandt's log likelihood ratio is unknown. The purpose of this work is to derive an empirical distribution for Quandt's statistic which enables the researcher to approximate the level of significance when testing the stability of regression relationships over time.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
