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Tests for structural change, aggregation, and homogeneity

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  • Maasoumi, Esfandiar
  • Zaman, Asad
  • Ahmed, Mumtaz

Abstract

Structural change can be considered by breaking up a sample into subsets and asking if these can be aggregated or pooled. Strategies for constructing tests for aggregation and structural change in this setting have not received sufficient attention in the literature. Our methodology for testing generalizes to multiple regimes a discussion of Pesaran et al. (1985) for the case of two regimes. This treatment permits a unified approach to a large number of testing problems discussed separately in the literature, as special cases or as parts of a test of homogeneity. We also provide a simple alternative to much more complex testing strategies currently being researched and developed in testing for structural change.

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File URL: http://www.sciencedirect.com/science/article/B6VB1-511GB8T-1/2/c8be888512f0b7ec555daacdd60f1e82
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Bibliographic Info

Article provided by Elsevier in its journal Economic Modelling.

Volume (Year): 27 (2010)
Issue (Month): 6 (November)
Pages: 1382-1391

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Handle: RePEc:eee:ecmode:v:27:y:2010:i:6:p:1382-1391

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Web page: http://www.elsevier.com/locate/inca/30411

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Keywords: Structural change Aggregation;

References

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  1. Schmidt, Peter & Sickles, Robin, 1977. "Some Further Evidence on the Use of the Chow Test under Heteroskedasticity," Econometrica, Econometric Society, vol. 45(5), pages 1293-98, July.
  2. Phillips, G. D. A. & McCabe, B. P., 1983. "The independence of tests for structural change in regression models," Economics Letters, Elsevier, vol. 12(3-4), pages 283-287.
  3. Qi Li & Esfandiar Maasoumi & Jeffrey S. Racine, 2008. "A Nonparametric Test for Equality of Distributions with Mixed Categorical and Continuous Data," Emory Economics 0805, Department of Economics, Emory University (Atlanta).
  4. Jayatissa, W A, 1977. "Tests of Equality between Sets of Coefficients in Two Linear Regressions when Disturbance Variances Are Unequal," Econometrica, Econometric Society, vol. 45(5), pages 1291-92, July.
  5. DUTTA, Jayasri & ZAMAN, Asad, 1990. "What do heteroskedasticity tests detect ?," CORE Discussion Papers 1990022, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  6. Asad Zaman, 2002. "Maximum likelihood estimates for the Hildreth-Houck random coefficients model," Econometrics Journal, Royal Economic Society, vol. 5(1), pages 237-262, June.
  7. Dufour, Jean-Marie, 1982. "Generalized Chow Tests for Structural Change: A Coordinate-Free Approach," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 23(3), pages 565-75, October.
  8. repec:fth:coluec:447 is not listed on IDEAS
  9. Chu, Chia-Shang James & White, Halbert, 1992. "A Direct Test for Changing Trend," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 289-99, July.
  10. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
  11. Toyoda, Toshihisa, 1974. "Use of the Chow Test under Heteroscedasticity," Econometrica, Econometric Society, vol. 42(3), pages 601-08, May.
  12. Ploberger, Werner & Kramer, Walter & Kontrus, Karl, 1989. "A new test for structural stability in the linear regression model," Journal of Econometrics, Elsevier, vol. 40(2), pages 307-318, February.
  13. Pesaran, M H & Smith, R P & Yeo, J S, 1985. "Testing for Structural Stability and Predictive Failure: A Review," The Manchester School of Economic & Social Studies, University of Manchester, vol. 53(3), pages 280-95, September.
  14. Koschat, Martin A & Weerahandi, Samaradasa, 1992. "Chow-Type Tests under Heteroscedasticity," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(2), pages 221-28, April.
  15. Thursby, Jerry G., 1992. "A comparison of several exact and approximate tests for structural shift under heteroscedasticity," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 363-386.
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