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Another Look at Chow's Test for the Equality of Two Heteroscedastic Regression Models

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  • Gebrenegus Ghilagaber

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  • Gebrenegus Ghilagaber, 2004. "Another Look at Chow's Test for the Equality of Two Heteroscedastic Regression Models," Quality & Quantity: International Journal of Methodology, Springer, vol. 38(1), pages 81-93, February.
    • Handle: RePEc:spr:qualqt:v:38:y:2004:i:1:p:81-93
    DOI: 10.1023/B:QUQU.0000013246.83707.6f
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    1. Giles, David & Scott, Murray, 1992. "Some consequences of using the Chow test in the context of autocorrelated disturbances," Economics Letters, Elsevier, vol. 38(2), pages 145-150, February.
    2. Schmidt, Peter & Sickles, Robin, 1977. "Some Further Evidence on the Use of the Chow Test under Heteroskedasticity," Econometrica, Econometric Society, vol. 45(5), pages 1293-1298, July.
    3. Lin, Chien-Fu Jeff & Terasvirta, Timo, 1999. "Testing parameter constancy in linear models against stochastic stationary parameters," Journal of Econometrics, Elsevier, vol. 90(2), pages 193-213, June.
    4. 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 1291-1292, July.
    5. Toyoda, Toshihisa, 1974. "Use of the Chow Test under Heteroscedasticity," Econometrica, Econometric Society, vol. 42(3), pages 601-608, May.
    6. Bai, Jushan, 1999. "Likelihood ratio tests for multiple structural changes," Journal of Econometrics, Elsevier, vol. 91(2), pages 299-323, August.
    7. Hidalgo, Javier, 1995. "A Nonparametric Conditional Moment Test for Structural Stability," Econometric Theory, Cambridge University Press, vol. 11(4), pages 671-698, August.
    8. Kozumi, Hideo & Hasegawa, Hikaru, 2000. "A Bayesian Analysis of Structural Changes with an Application to the Displacement Effect," Manchester School, University of Manchester, vol. 68(4), pages 476-490, Special I.
    9. Diebold, Francis X. & Chen, Celia, 1996. "Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures," Journal of Econometrics, Elsevier, vol. 70(1), pages 221-241, January.
    10. 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 391-396, December.
    11. 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.
    12. Kuo, Biing-Shen, 1998. "Test for partial parameter instability in regressions with I(1) processes," Journal of Econometrics, Elsevier, vol. 86(2), pages 337-368, June.
    13. 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.
    14. Campos, Julia & Ericsson, Neil R. & Hendry, David F., 1996. "Cointegration tests in the presence of structural breaks," Journal of Econometrics, Elsevier, vol. 70(1), pages 187-220, January.
    15. Weerahandi, Samaradasa, 1987. "Testing Regression Equality with Unequal Variances," Econometrica, Econometric Society, vol. 55(5), pages 1211-1215, September.
    16. Bai, Jushan, 1996. "Testing for Parameter Constancy in Linear Regressions: An Empirical Distribution Function Approach," Econometrica, Econometric Society, vol. 64(3), pages 597-622, May.
    17. Dufour, Jean-Marie & Kiviet, Jan F., 1996. "Exact tests for structural change in first-order dynamic models," Journal of Econometrics, Elsevier, vol. 70(1), pages 39-68, January.
    18. Hideo Kozumi & Hikaru Hasegawa, 2000. "A Bayesian Analysis of Structural Changes with an Application to the Displacement Effect," Manchester School, University of Manchester, vol. 68(4), pages 476-490, June.
    19. Honda, Yuzo & Ohtani, Kazuhiro, 1986. "Modified Wald Tests in Tests of Equality between Sets of Coefficients in Two Linear Regressions under Heteroscedasticity," The Manchester School of Economic & Social Studies, University of Manchester, vol. 54(2), pages 208-218, June.
    20. Lin, Chien-Fu Jeff & Terasvirta, Timo, 1994. "Testing the constancy of regression parameters against continuous structural change," Journal of Econometrics, Elsevier, vol. 62(2), pages 211-228, June.
    21. Tsurumi, Hiroki & Sheflin, Neil, 1985. "Some tests for the constancy of regressions under heteroscedasticity," Journal of Econometrics, Elsevier, vol. 27(2), pages 221-234, February.
    22. Honda, Yuzo, 1982. "On Tests of Equality between Sets of Coefficients in Two Linear Regressions When Disturbance Variances Are Unequal," The Manchester School of Economic & Social Studies, University of Manchester, vol. 50(2), pages 116-125, June.
    23. Conerly, Michael D. & Mansfield, Edward R., 1989. "An approximate test for comparing independent regression models with unequal error variances," Journal of Econometrics, Elsevier, vol. 40(2), pages 239-259, February.
    24. Han, Aaron K & Park, Daekeun, 1989. "Testing for Structural Change in Panel Data: Application to a Study of U.S. Foreign Trade in Manufacturing Goods," The Review of Economics and Statistics, MIT Press, vol. 71(1), pages 135-142, February.
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    Cited by:

    1. Pedro Bação, 2006. "The Performance of Structural Change Tests," Quality & Quantity: International Journal of Methodology, Springer, vol. 40(4), pages 611-628, August.
    2. Otieno, David Jakinda & Omiti, John M. & Nyanamba, Timothy O. & McCullough, Ellen B., 2009. "Application of Chow test to improve analysis of farmer participation in markets in Kenya," 2009 Conference, August 16-22, 2009, Beijing, China 50776, International Association of Agricultural Economists.
    3. Julia Polak & Maxwell L. King & Xibin Zhang, 2014. "A Model Validation Procedure," Monash Econometrics and Business Statistics Working Papers 21/14, Monash University, Department of Econometrics and Business Statistics.
    4. Alexander Braun, 2016. "Pricing in the Primary Market for Cat Bonds: New Empirical Evidence," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(4), pages 811-847, December.

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