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

Table 3

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	0.0534	0.0	0.0	0.5	0.0497
4.5	0.0	0.0	0.0576	0.0	0.0	2.5	0.0590
10.5	0.0	0.0	0.0913	0.0	0.0	5.5	0.1047
12.5	0.0	0.0	0.1063	0.0	0.0	8.5	0.1995
14.5	0.0	0.0	0.1290	0.0	0.0	12.5	0.4215
16.5	0.0	0.0	0.1586	0.0	0.0	15.0	0.5840
20.0	0.0	0.0	0.2153	0.0	0.0	20.0	0.8565
25.0	0.0	0.0	0.3366	0.0	0.0	25.0	0.9754
30.0	0.0	0.0	0.4747	0.0	0.0	30.0	0.9973
40.0	0.0	0.0	0.7576	0.5	0.5	0.5	0.0533
0.0	0.5	0.0	0.0493	2.5	2.5	2.5	0.0958
0.0	4.0	0.0	0.0742	3.5	3.5	3.5	0.1450
0.0	10.5	0.0	0.2431	5.5	5.5	5.5	0.3167
0.0	15.0	0.0	0.4744	6.5	6.5	6.5	0.4339
0.0	20.0	0.0	0.7723	8.5	8.5	8.5	0.6818
0.0	24.0	0.0	0.9244	10.5	10.5	10.5	0.8393
0.0	30.0	0.0	0.9912	12.5	12.5	12.5	0.9681
0.0	35.0	0.0	0.9988	15.0	15.0	15.0	0.9963