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.

Sprache
Englisch

Erschienen in
Series: Queen's Economics Department Working Paper ; No. 717

Klassifikation
Wirtschaft
Thema
Chow test
HCCME
heteroskedasticity
artificial regression
Gauss-Newton regression
GNR
structural break

Ereignis
Geistige Schöpfung
(wer)
MacKinnon, James G.
Ereignis
Veröffentlichung
(wer)
Queen's University, Department of Economics
(wo)
Kingston (Ontario)
(wann)
1988

Handle
Letzte Aktualisierung
10.03.2025, 11:42 MEZ

Datenpartner

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Objekttyp

  • Arbeitspapier

Beteiligte

  • MacKinnon, James G.
  • Queen's University, Department of Economics

Entstanden

  • 1988

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