A Test for a Shifting Slope Coefficient in a Linear Model
线性模型中斜率系数发生变化的检验
A locally most powerful test is developed for the hypothesis that a slope coefficient in a linear time series model is stable, against the alternative that the slope shifts exactly once somewhere in the series. Analysis of the procedure using artificial data indicates good power characteristics even when the ratio of the shift size to the error variance is moderate—especially if the shift does not occur very near either end of the series. Power also depends on the pattern of…