Testing for structural Change in Regression: An Empirical Likelihood Ratio Approach
In this paper we derive an empirical likelihood type Wald (ELW)test for the problem testing for structural change in a linear regression model when the variance of error term is not known to be equal across regimes. The sampling properties of the ELW test are analyzed using Monte Carlo simulation. Comparisons of these properties of the ELW test and of three other commonly used tests (Jayatissa, Weerahandi, and Wald) are conducted. The finding is that the ELW test has very good power properties.
|Date of creation:||06 Dec 2004|
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- Giles, Judith A & Giles, David E A, 1993. " Pre-test Estimation and Testing in Econometrics: Recent Developments," Journal of Economic Surveys, Wiley Blackwell, vol. 7(2), pages 145-97, June.
- 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.
- Weerahandi, Samaradasa, 1987. "Testing Regression Equality with Unequal Variances," Econometrica, Econometric Society, vol. 55(5), pages 1211-15, September.
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