Simultaneous Model Change Detection in Multivariate Linear Regression With Application to Indonesian Economic Growth Data

Table 2

Simulated rejection probabilities of size test for three-variate first-order model computed for several varied values of , , and with .

0.0	0.0	0.0	0.0497	0.0	0.0	0.5	0.0495
4.5	0.0	0.0	0.0576	0.0	0.0	2.5	0.0609
10.5	0.0	0.0	0.0875	0.0	0.0	5.5	0.1091
12.5	0.0	0.0	0.1109	0.0	0.0	8.5	0.2079
14.5	0.0	0.0	0.1340	0.0	0.0	12.5	0.4353
16.5	0.0	0.0	0.1622	0.0	0.0	15.0	0.6061
20.0	0.0	0.0	0.2259	0.0	0.0	20.0	0.8722
25.0	0.0	0.0	0.3434	0.0	0.0	25.0	0.9801
30.0	0.0	0.0	0.4911	0.0	0.0	30.0	0.9985
40.0	0.0	0.0	0.7722	0.5	0.5	0.5	0.0526
0.0	0.5	0.0	0.0516	2.5	2.5	2.5	0.0948
0.0	4.0	0.0	0.0735	3.5	3.5	3.5	0.1405
0.0	10.5	0.0	0.2512	5.5	5.5	5.5	0.3228
0.0	15.0	0.0	0.4995	6.5	6.5	6.5	0.4430
0.0	20.0	0.0	0.7810	8.5	8.5	8.5	0.7035
0.0	30.0	0.0	0.9917	10.0	10.0	10.0	0.8540
0.0	35.0	0.0	0.9994	12.5	12.5	12.5	0.9725
0.0	40.0	0.0	0.9999	15.0	15.0	15.0	0.9973