Some consequences of using the Chow tests in the context of autocorrelated disturbances

DOI10.1016/0165-1765(92)90045-ZzbMath0761.62119MaRDI QIDQ1206323

David E. A. Giles, Murray Scott

Publication date: 1 April 1993

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

autocorrelated errors\(AR(1)\) errors\(MA(1)\) errorstrue size of the Chow test for structural stability

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)

Related Items (1)

An asymptotically F-distributed Chow test in the presence of heteroscedasticity and autocorrelation

Uses Software

• AS 155

Cites Work

• On the robustness of the F-test to autocorrelation among disturbances
• SERIAL CORRELATION IN REGRESSION ANALYSIS. I
• Tests of Equality Between Sets of Coefficients in Two Linear Regressions
• Effects of ARMA Errors on Tests for Regression Coefficients: Comments on Vinod's Article; Improved and Additional Results
• Algorithm AS 155: The Distribution of a Linear Combination of χ 2 Random Variables
• New Estimators of Disturbances in Regression Analysis
• TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION. II

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