COWLES FOUNDATION FOR RESEARCH IN ECONOMICS
AT YALE UNIVERSITY

Box 208281
New Haven, CT 06520-8281

COWLES FOUNDATION DISCUSSION PAPER NO. 1016

"Optimal Changepoint Tests for Normal Linear Regression"

Donald W.K. Andrews, Inpyo Lee and Werner Ploberger

April 1992

This paper determines a class of finite sample optimal tests for the existence of a changepoint at an unknown time in a normal linear multiple regression model with known variance. Optimal tests for multiple changepoints are also derived. Power comparisons of several tests are provided based on simulations.

JEL Classification: C12

Keywords: Optimal test, multiple changepoints, structural change test