Testing for structural Change in Regression: An Empirical Likelihood Ratio Approach

Lauren Bin Dong ()
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Lauren Bin Dong: Statistics Canada

No 405, Econometrics Working Papers from Department of Economics, University of Victoria

Abstract: 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.

Keywords: Empirical Likelihood; Wald test; Monte Carlo Simulation; Power and size; structural change (search for similar items in EconPapers)
JEL-codes: C12 C15 C16 (search for similar items in EconPapers)
Pages: 46 pages
Date: 2004-12-06
New Economics Papers: this item is included in nep-ecm
Note: ISSN 1485-6441
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Persistent link: https://EconPapers.repec.org/RePEc:vic:vicewp:0405

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