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Bounds on the Effect of Heteroscedasticity on the Chow Test for Structural Change

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  • Giles, David
  • Lieberman, Offer

Abstract

This paper considers the effect of heteroscedastic regression errors on the size of the Chow test for structural stability. We show that bounds can be placed on the true size of this test in the light of such misspecification, and on the true critical value needed to achieve any desired significance level when using the test under various degrees of heteroscedasticity. These bounds are data-independent, and some cases are tabulated. An example is given to illustrate the practical application of the critical value bounds.

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Handle: RePEc:ags:canzdp:263002
DOI: 10.22004/ag.econ.263002
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