A Unified Approach to Structural Change Tests Based on ML Scores, F Statistics, and OLS Residuals
By Achim Zeileis. 2005
194 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Achim Zeileis
- Torsten Hothorn
- Susan Athey
- Kurt Hornik
- Stefan Wager
- Julie Tibshirani
- Thomas Rusch
- V. Tolon
In Finance
- Susan Athey
- Achim Zeileis
- Torsten Hothorn
- Stefan Wager
- Thomas Rusch
- Kurt Hornik
- Julie Tibshirani
- V. Tolon
Citations in the corpus
- Generalized random forests (2016, methodology): “…at detected change-points in θ(x); and, from this perspective, our approach is closely related to standard techniques for moment-based change-point detection (Andrews, 1993; Hansen, 1992; Hjort and Koning, 2002; Nyblom, 1989; Ploberger and Krämer, 1992; Zeileis, 2005; Zeileis and Hornik, 2007).”
- Gaining insight with recursive partitioning of generalized linear models (2013, background): “As mentioned above, the parameter stability of the individual score function contributions with respect to the splitting variable Z j is assessed by means of generalized M-fluctuation tests (Zeileis and Hornik 2007) for any ordering of the values of Z j , σ ( Z ij ).”
- Model-Based Recursive Partitioning (2008, methodology): “…including OLS-based CUSUM and MOSUM tests (Ploberger and Kr¨amer 1992; Chu, Hornik, and Kuan 1995), score-based tests (Nyblom 1989; Hjort and Koning 2002) and statistics based on Lagrange multiplier statistics (Andrews 1993; Andrews and Ploberger 1994)—an overview is given in Zeileis (2005).”
- Generalized M‐fluctuation tests for parameter instability (2007, methodology): “A unifying view is given in Zeileis (2005) .”
- Responding to spatial and temporal variations in predation risk: space use of a game species in a changing landscape of fear (2009, methodology): “To find out whether the regression relationships below and above the threshold were significantly different, we used a supLM test (Andrews 1993; Zeileis 2005), which takes the supremum of LM statistics over all conceivable thresholds.”