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A Bounds Test for Equality Between Sets of Coefficients in Two Linear Regression Models Under Heteroscedasticity

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  • Ohtani, Kazuhiro
  • Kobayashi, Masahito

Abstract

This article proposes a small sample bounds test for equality between sets of coefficients in two linear regressions with unequal disturbance variances. The probability that our test is inconclusive is given under the null hypothesis. It is also shown that our test is more powerful than the Jayatissa test when the regression coefficients differ substantially.

Suggested Citation

  • Ohtani, Kazuhiro & Kobayashi, Masahito, 1986. "A Bounds Test for Equality Between Sets of Coefficients in Two Linear Regression Models Under Heteroscedasticity," Econometric Theory, Cambridge University Press, vol. 2(02), pages 220-231, August.
  • Handle: RePEc:cup:etheor:v:2:y:1986:i:02:p:220-231_01
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    Cited by:

    1. Gilligan, Daniel O. & Veiga, Alinne, 2003. "An Evaluation Of Geographic Targeting In Bolsa Alimentação In Brazil," 2003 Annual meeting, July 27-30, Montreal, Canada 21915, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    2. Adrian C. Darnell, 1994. "A Dictionary Of Econometrics," Books, Edward Elgar Publishing, number 118, April.
    3. Gelman, Sergey & Burhop, Carsten, 2008. "Taxation, regulation and the information efficiency of the Berlin stock exchange, 1892–1913," European Review of Economic History, Cambridge University Press, vol. 12(01), pages 39-66, April.

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