Advanced Search
MyIDEAS: Login

Testing for structural Change in Regression: An Empirical Likelihood Ratio Approach

Contents:

Author Info

  • Lauren Bin Dong

    ()
    (Statistics Canada)

Registered author(s):

    Abstract

    In this paper we derive an empirical likelihood type Wald (ELW)test for the problem testing for structural change in a linear regression model when the variance of error term is not known to be equal across regimes. The sampling properties of the ELW test are analyzed using Monte Carlo simulation. Comparisons of these properties of the ELW test and of three other commonly used tests (Jayatissa, Weerahandi, and Wald) are conducted. The finding is that the ELW test has very good power properties.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.uvic.ca/socialsciences/economics/assets/docs/econometrics/ewp0405.pdf
    Download Restriction: no

    Bibliographic Info

    Paper provided by Department of Economics, University of Victoria in its series Econometrics Working Papers with number 0405.

    as in new window
    Length: 46 pages
    Date of creation: 06 Dec 2004
    Date of revision:
    Handle: RePEc:vic:vicewp:0405

    Note: ISSN 1485-6441
    Contact details of provider:
    Postal: PO Box 1700, STN CSC, Victoria, BC, Canada, V8W 2Y2
    Phone: (250)721-6197
    Fax: (250)721-6214
    Web page: http://web.uvic.ca/econ
    More information through EDIRC

    Related research

    Keywords: Empirical Likelihood; Wald test; Monte Carlo Simulation; Power and size; structural change;

    Find related papers by JEL classification:

    This paper has been announced in the following NEP Reports:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Weerahandi, Samaradasa, 1987. "Testing Regression Equality with Unequal Variances," Econometrica, Econometric Society, vol. 55(5), pages 1211-15, September.
    2. Giles, Judith A & Giles, David E A, 1993. " Pre-test Estimation and Testing in Econometrics: Recent Developments," Journal of Economic Surveys, Wiley Blackwell, vol. 7(2), pages 145-97, June.
    3. 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.
    4. 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.
    5. 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.
    Full references (including those not matched with items on IDEAS)

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:vic:vicewp:0405. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Lori Cretney).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.