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Another Look at Chow's Test for the Equality of Two Heteroscedastic Regression Models

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  • Gebrenegus Ghilagaber

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    File URL: http://hdl.handle.net/10.1023/B:QUQU.0000013246.83707.6f
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    Bibliographic Info

    Article provided by Springer in its journal Quality and Quantity.

    Volume (Year): 38 (2004)
    Issue (Month): 1 (February)
    Pages: 81-93

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    Handle: RePEc:spr:qualqt:v:38:y:2004:i:1:p:81-93

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    Related research

    Keywords: Chow test; inter-model heteroscedasticity; intra-model heteroscedasticity;

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    1. Julia Campos & Neil R. Ericsson & David F. Hendry, 1993. "Cointegration tests in the presence of structural breaks," International Finance Discussion Papers 440, Board of Governors of the Federal Reserve System (U.S.).
    2. Tsurumi, Hiroki & Sheflin, Neil, 1985. "Some tests for the constancy of regressions under heteroscedasticity," Journal of Econometrics, Elsevier, vol. 27(2), pages 221-234, February.
    3. Diebold, Francis X. & Chen, Celia, 1996. "Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures," Journal of Econometrics, Elsevier, vol. 70(1), pages 221-241, January.
    4. Lin, Chien-Fu Jeff & Terasvirta, Timo, 1999. "Testing parameter constancy in linear models against stochastic stationary parameters," Journal of Econometrics, Elsevier, vol. 90(2), pages 193-213, June.
    5. Bai, Jushan, 1996. "Testing for Parameter Constancy in Linear Regressions: An Empirical Distribution Function Approach," Econometrica, Econometric Society, vol. 64(3), pages 597-622, May.
    6. Lin, Chien-Fu Jeff & Terasvirta, Timo, 1994. "Testing the constancy of regression parameters against continuous structural change," Journal of Econometrics, Elsevier, vol. 62(2), pages 211-228, June.
    7. Giles, David & Scott, Murray, 1992. "Some consequences of using the Chow test in the context of autocorrelated disturbances," Economics Letters, Elsevier, vol. 38(2), pages 145-150, February.
    8. Toyoda, Toshihisa, 1974. "Use of the Chow Test under Heteroscedasticity," Econometrica, Econometric Society, vol. 42(3), pages 601-08, May.
    9. Dufour, Jean-Marie & Kiviet, Jan F., 1996. "Exact tests for structural change in first-order dynamic models," Journal of Econometrics, Elsevier, vol. 70(1), pages 39-68, January.
    10. Watt, P A, 1979. "Tests of Equality between Sets of Coefficients in Two Linear Regressions When Disturbance Variances Are Unequal: Some Small Sample Properties," The Manchester School of Economic & Social Studies, University of Manchester, vol. 47(4), pages 391-96, December.
    11. Conerly, Michael D. & Mansfield, Edward R., 1989. "An approximate test for comparing independent regression models with unequal error variances," Journal of Econometrics, Elsevier, vol. 40(2), pages 239-259, February.
    12. Honda, Yuzo & Ohtani, Kazuhiro, 1986. "Modified Wald Tests in Tests of Equality between Sets of Coefficients in Two Linear Regressions under Heteroscedasticity," The Manchester School of Economic & Social Studies, University of Manchester, vol. 54(2), pages 208-18, June.
    13. Hidalgo, Javier, 1995. "A Nonparametric Conditional Moment Test for Structural Stability," Econometric Theory, Cambridge University Press, vol. 11(04), pages 671-698, August.
    14. 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.
    15. Honda, Yuzo, 1982. "On Tests of Equality between Sets of Coefficients in Two Linear Regressions When Disturbance Variances Are Unequal," The Manchester School of Economic & Social Studies, University of Manchester, vol. 50(2), pages 116-25, June.
    16. 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.
    17. 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.
    18. Kuo, Biing-Shen, 1998. "Test for partial parameter instability in regressions with I(1) processes," Journal of Econometrics, Elsevier, vol. 86(2), pages 337-368, June.
    19. Bai, Jushan, 1999. "Likelihood ratio tests for multiple structural changes," Journal of Econometrics, Elsevier, vol. 91(2), pages 299-323, August.
    20. Weerahandi, Samaradasa, 1987. "Testing Regression Equality with Unequal Variances," Econometrica, Econometric Society, vol. 55(5), pages 1211-15, September.
    21. Ohtani, Kazuhiro & Toyoda, Toshihisa, 1985. "Small Sample Properties of Tests of Equality between Sets of Coefficients in Two Linear Regressions under Heteroscedasticity," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 26(1), pages 37-44, February.
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