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Tests for structural change, aggregation, and homogeneity

Author

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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.

Suggested Citation

  • Maasoumi, Esfandiar & Zaman, Asad & Ahmed, Mumtaz, 2010. "Tests for structural change, aggregation, and homogeneity," Economic Modelling, Elsevier, vol. 27(6), pages 1382-1391, November.
  • Handle: RePEc:eee:ecmode:v:27:y:2010:i:6:p:1382-1391
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    References listed on IDEAS

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    1. 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.
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    5. Dutta, J. & Zaman, A., 1989. "What Do Heteroskedasticity Tests Detect?," Papers fb-89-10, Columbia - Graduate School of Business.
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    Keywords

    Structural change Aggregation;

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