Heteroskedasticity-Robust Tests for Structural Change

James MacKinnon ()

Empirical Economics, 1989, vol. 14, issue 2, pages 77-92

Abstract: 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.

Date: 1989
View citations in EconPapers

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Working Paper: Heteroskedasticity-robust tests for structural change (1988)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:spr:empeco:v:14:y:1989:i:2:p:77-92

Ordering information: This journal article can be ordered from
http://link.springer.de/orders.htm

Access Statistics for this article

Empirical Economics is edited by Badi H. Baltagi, Heather M. Anderson and Bernd Fitzenberger

More articles in Empirical Economics from Springer
Series data maintained by Christopher F Baum ().