Vícefázová regrese

Abstract

We consider linear regression models with structural changes occurring at unknown time points. We describe F type tests for detection of changes. For calculation of approximations to the corresponding critical values we suggest a method based on the application of the permutation principle. We prove that the method is applicable to the F type test statistics. The simulation study shows that the permutation arguments provide satisfactory approximations to the critical values when the change in parameters is not too large. For estimation of the number of changes present we use information criteria and a method based on sequential testing. All discussed methods are applied to Klementinum data.