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Keywords:
linear regression; $M$-test procedure; asymptotics
linear regression; $M$-test procedure; asymptotics
Summary:
Regression- and scale-invariant $M$-test procedures for detection of structural changes in linear regression model was developed and their limit behavior under the null hypothesis was studied in Hušková [9]. In the present paper the limit behavior under local alternatives is studied. More precisely, it is shown that under local alternatives the considered test statistics have asymptotically normal distribution.
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