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

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Author Info
Lauren Bin Dong () (Statistics Canada)
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.

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File URL: http://web.uvic.ca/econ/research/papers/ewp0405.pdf
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Publisher Info
Paper provided by Department of Economics, University of Victoria in its series Econometrics Working Papers with number 0405.

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

Note: ISSN 1485-6441
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Postal: PO Box 1700, STN CSC, Victoria, BC, Canada, V8W 2Y2
Phone: (250)721-8540
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Web page: http://web.uvic.ca/econ
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Related research
Keywords: Empirical Likelihood; Wald test; Monte Carlo Simulation; Power and size; structural change;

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Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Econometric and Statistical Methods; Specific Distributions

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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.:
  1. 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. [Downloadable!] (restricted)
  2. 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, Blackwell Publishing, vol. 47(4), pages 391-96, December.
  3. Giles, Judith A & Giles, David E A, 1993. " Pre-test Estimation and Testing in Econometrics: Recent Developments," Journal of Economic Surveys, Blackwell Publishing, vol. 7(2), pages 145-97, June.
  4. 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. [Downloadable!] (restricted)
  5. Weerahandi, Samaradasa, 1987. "Testing Regression Equality with Unequal Variances," Econometrica, Econometric Society, vol. 55(5), pages 1211-15, September. [Downloadable!] (restricted)
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