Bounds on the effect of heteroscedasticity on the chow test for structural change

DOI10.1080/03610929308831048zbMath0800.62290OpenAlexW2106729866MaRDI QIDQ4275795

Offer Lieberman, David E. A. Giles

Publication date: 20 January 1994

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: http://ageconsearch.umn.edu/record/263002

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Hypothesis testing in multivariate analysis (62H15) Statistical tables (62Q05)

Related Items (1)

Comparing Several Regression Models with Unequal Variances

Uses Software

• shazam

Cites Work

• Critical bounds for MA(2) and MA(3) processes
• Pre-testing for linear restrictions in a regression model with spherically symmetric disturbances
• Tests of Equality Between Sets of Coefficients in Two Linear Regressions
• Testing Regression Equality with Unequal Variances
• 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
• Use of the Chow Test under Heteroscedasticity
• Some Further Evidence on the Use of the Chow Test under Heteroskedasticity
• Tests of Equality between Sets of Coefficients in Two Linear Regressions when Disturbance Variances are Unequal
• Small Sample Properties of Tests of Equality between Sets of Coefficients in Two Linear Regressions under Heteroscedasticity

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