IDEAS home Printed from
MyIDEAS: Login to save this article or follow this journal

Tests for structural change, aggregation, and homogeneity

  • Maasoumi, Esfandiar
  • Zaman, Asad
  • Ahmed, Mumtaz

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.

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:
Download Restriction: Full text for ScienceDirect subscribers only

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Article provided by Elsevier in its journal Economic Modelling.

Volume (Year): 27 (2010)
Issue (Month): 6 (November)
Pages: 1382-1391

in new window

Handle: RePEc:eee:ecmode:v:27:y:2010:i:6:p:1382-1391
Contact details of provider: Web page:

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. Li, Qi & Maasoumi, Esfandiar & Racine, Jeffrey S., 2009. "A nonparametric test for equality of distributions with mixed categorical and continuous data," Journal of Econometrics, Elsevier, vol. 148(2), pages 186-200, February.
  2. Pesaran, M H & Smith, R P & Yeo, J S, 1985. "Testing for Structural Stability and Predictive Failure: A Review," The Manchester School of Economic & Social Studies, University of Manchester, vol. 53(3), pages 280-95, September.
  3. Dufour, J.M., 1981. "Generalized Chow Tests for Structural Change: a Coordinate-Free Approach," Cahiers de recherche 8128, Universite de Montreal, Departement de sciences economiques.
  4. 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.
  5. Asad Zaman, 2002. "Maximum likelihood estimates for the Hildreth-Houck random coefficients model," Econometrics Journal, Royal Economic Society, vol. 5(1), pages 237-262, June.
  6. Dutta, J. & Zaman, A., 1989. "What Do Heteroskedasticity Tests Detect?," Papers fb-89-10, Columbia - Graduate School of Business.
  7. Toyoda, Toshihisa, 1974. "Use of the Chow Test under Heteroscedasticity," Econometrica, Econometric Society, vol. 42(3), pages 601-08, May.
  8. 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.
  9. 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.
  10. Ploberger, Werner & Kramer, Walter & Kontrus, Karl, 1989. "A new test for structural stability in the linear regression model," Journal of Econometrics, Elsevier, vol. 40(2), pages 307-318, February.
  11. Chu, Chia-Shang James & White, Halbert, 1992. "A Direct Test for Changing Trend," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 289-99, July.
  12. Koschat, Martin A & Weerahandi, Samaradasa, 1992. "Chow-Type Tests under Heteroscedasticity," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(2), pages 221-28, April.
  13. 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.
  14. 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.
Full references (including those not matched with items on IDEAS)

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

When requesting a correction, please mention this item's handle: RePEc:eee:ecmode:v:27:y:2010:i:6:p:1382-1391. 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: (Zhang, Lei)

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.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.