Inferences for the linear errors-in-variables with changepoint models.

From: Journal of the American Statistical Association | Date: March 1, 1997| Author: | Copyright information

A linear structural errors-in-variables regression with changepoint model is proposed. In the model, the likelihood ratio test based on the maximum Hoteling T2 for the test of no change counter to the alternative of one change is examined. Asymptotic efficiency is observed to go up as the family goes down.

1. INTRODUCTION

The classical linear errors-in-variables regression (EIVR) model with one independent variable can be expressed by

[Y.sub.i] = [Alpha] + [Beta][[Xi].sub.i] + [[Epsilon].sub.i], (i = 1, ..., n)

and

[X.sub.i] = [[Xi].sub.i] +[[Delta].sub.i], (i = 1, ..., n), (1) ...

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