Arbeitspapier
Heteroskedasticity-robust tests for structural change
It is remarkably easy to test for structural change, of the type that the classic F or "Chow" test is designed to detect, in a manner that is robust to heteroskedasticity of possibly unknown form. This paper first discusses how to test for structural change in nonlinear regression models by using a variant of the Gauss-Newton regression. It then shows how to make these tests robust to heteroskedasticity of unknown form and discusses several related procedures for doing so. Finally, it presents the results of a number of Monte Carlo experiments designed to see how well the new tests perform in finite samples.
- Language
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Englisch
- Bibliographic citation
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Series: Queen's Economics Department Working Paper ; No. 717
- Classification
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Wirtschaft
- Subject
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Chow test
HCCME
heteroskedasticity
artificial regression
Gauss-Newton regression
GNR
structural break
- Event
-
Geistige Schöpfung
- (who)
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MacKinnon, James G.
- Event
-
Veröffentlichung
- (who)
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Queen's University, Department of Economics
- (where)
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Kingston (Ontario)
- (when)
-
1988
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- MacKinnon, James G.
- Queen's University, Department of Economics
Time of origin
- 1988
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