Testing for A Change Point by Model Selection Tools in Linear Regression Models

  • Yoon, Yong-Hwa (Department of Statistics, Taegu University) ;
  • Kim, Jong-Tae (Department of Statistics, Taegu University) ;
  • Cho, Kil-Ho (Department of Statistics, Kyungpook National University) ;
  • Shin, Kyung-A (Department of Statistics, Kyungpook National University)
  • Published : 2000.12.01

Abstract

Several information criterions, Schwarz information criterion (SIC), Akaike information criterion (AIC), and the modified Akaike information criterion ($AIC_c$), are proposed to locate a change point in the multiple linear regression model. These methods are applied to a stock Exchange data set and compared to the results.

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