A Sequential Testing Procedure for Outliers and Structural Change

In this paper a test for outliers based on externally studentized residuals is shown to be related to a test for predictive failure. The relationships between a test for outliers, a test for a correlated mean shift and a test for an intercept shift are developed. A sequential testing procedure for o...

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Main Authors:	McAleer, Michael, TSE, Yiu Kuen
Format:	text
Language:	English
Published:	Institutional Knowledge at Singapore Management University 1988
Subjects:	Economics
Online Access:	https://ink.library.smu.edu.sg/soe_research/357
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Institution:	Singapore Management University
Language:	English

id	sg-smu-ink.soe_research-1356
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spelling	sg-smu-ink.soe_research-13562010-09-23T05:48:03Z A Sequential Testing Procedure for Outliers and Structural Change McAleer, Michael TSE, Yiu Kuen In this paper a test for outliers based on externally studentized residuals is shown to be related to a test for predictive failure. The relationships between a test for outliers, a test for a correlated mean shift and a test for an intercept shift are developed. A sequential testing procedure for outliers and structural change is shown to be independent, so that the overall size of the joint test can be determined exactly. It is established that a joint test for outliers and constancy of variances cannot be performed. 1988-01-01T08:00:00Z text https://ink.library.smu.edu.sg/soe_research/357 info:doi/10.1080/07474938808800145 Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Economics
institution	Singapore Management University
building	SMU Libraries
continent	Asia
country	Singapore Singapore
content_provider	SMU Libraries
collection	InK@SMU
language	English
topic	Economics
spellingShingle	Economics McAleer, Michael TSE, Yiu Kuen A Sequential Testing Procedure for Outliers and Structural Change
description	In this paper a test for outliers based on externally studentized residuals is shown to be related to a test for predictive failure. The relationships between a test for outliers, a test for a correlated mean shift and a test for an intercept shift are developed. A sequential testing procedure for outliers and structural change is shown to be independent, so that the overall size of the joint test can be determined exactly. It is established that a joint test for outliers and constancy of variances cannot be performed.
format	text
author	McAleer, Michael TSE, Yiu Kuen
author_facet	McAleer, Michael TSE, Yiu Kuen
author_sort	McAleer, Michael
title	A Sequential Testing Procedure for Outliers and Structural Change
title_short	A Sequential Testing Procedure for Outliers and Structural Change
title_full	A Sequential Testing Procedure for Outliers and Structural Change
title_fullStr	A Sequential Testing Procedure for Outliers and Structural Change
title_full_unstemmed	A Sequential Testing Procedure for Outliers and Structural Change
title_sort	sequential testing procedure for outliers and structural change
publisher	Institutional Knowledge at Singapore Management University
publishDate	1988
url	https://ink.library.smu.edu.sg/soe_research/357
_version_	1770569133136543744

A Sequential Testing Procedure for Outliers and Structural Change

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