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Testing for heterogeneous parameters in least-squares approximations

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  • DUTTA, J.
  • LEON, H.L.

Abstract

This paper suggests tests for the heterogeneity of parameters in linear least-squares estimation. The tests are based on the properties of resampled estimates, and test the hypotheses that the parameters have a common mean, or that they are independently and identically distributed. The tests can be viewed as the analogue of those based on recursive residuals, in cross-sectional models. We analyse the properties of tests based on jack-knifed estimates in the linear regression model, and compare their performance in a small empirical application.
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  • Dutta, J. & Leon, H.L., 1991. "Testing for heterogeneous parameters in least-squares approximations," LIDAM Reprints CORE 928, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    • Handle: RePEc:cor:louvrp:928
    DOI: 10.2307/2297969
    Note: In : Review of Economic Studies, 58, 299-320, 1991
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    Cited by:

    1. Agenor, Pierre-Richard, 2002. "Does globalization hurt the poor?," Policy Research Working Paper Series 2922, The World Bank.

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