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We consider the finite-sample power of various tests against serial correlation in the disturbances of a linear regression model when these disturbances follow certain stationary long-memory processes. It emerges that the power depends on the form of the regressor matrix and that, for the Durbin--Watson test and many other tests that can be written as ratios of quadratic forms in the disturbances, the power can drop to zero as the long-memory parameter approaches the…

动态计量模型中的结构变化监测AI 解读

Abstract The classical approach to testing for structural change employs retrospective tests using a historical data set of a given length. Here we consider a wide array of fluctuation‐type tests in a monitoring situation—given a history period for which a regression relationship is known to be stable, we test whether incoming data are consistent with the previously established relationship. Procedures based on estimates of the regression coefficients are extended in three…

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