A sequential testing procedure for outliers and structural change
- 1 January 1988
- journal article
- research article
- Published by Taylor & Francis in Econometric Reviews
- Vol. 7 (1) , 103-111
- https://doi.org/10.1080/07474938808800145
Abstract
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.Keywords
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