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  • Giovanni Forchini (a1)
  • DOI:
  • Published online: 01 May 2008

Average exponential F tests for structural change in a Gaussian linear regression model and modifications thereof maximize a weighted average power that incorporates specific weighting functions to make the resulting test statistics simple. Generalizations of these tests involve the numerical evaluation of (potentially) complicated integrals. In this paper, we suggest a uniform Laplace approximation to evaluate weighted average power test statistics for which a simple closed form does not exist. We also show that a modification of the avg-F test is optimal under a very large class of weighting functions and can be written as a ratio of quadratic forms so that both its p-values and critical values are easy to calculate using numerical algorithms.

Corresponding author
Address correspondence to Giovanni Forchini, Department of Econometrics and Business Statistics, Monash University, Clayton, Victoria 3800, Australia; e-mail:
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D.W.K. Andrews , I. Lee , & W. Ploberger (1996) Optimal changepoint tests for normal linear regression. Journal of Econometrics 70, 936.

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D.R. Cox & D.V. Hinkley (1974) Theoretical Statistics. Chapman and Hall.

G. Elliott & U.K. Müller (2006) Efficient tests for general persistent time variation in regression coefficients. Review of Economic Studies 73, 907940.

G. Forchini (2002) Optimal similar tests for structural change for the linear regression model. Econometric Theory 18, 853867.

J.P. Imhof (1961) Computing the distribution of quadratic forms in normal variables. Biometrika 48, 419426.

A. Wald (1943) Tests of statistical hypotheses concerning several parameters when the number of observations is large. Transactions of the American Mathematical Society 54, 426482.

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Econometric Theory
  • ISSN: 0266-4666
  • EISSN: 1469-4360
  • URL: /core/journals/econometric-theory
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