Heteroskedasticity-robust tests for structural change

James MacKinnon

Working Paper from Economics Department, Queen's University

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.

Keywords: Chow test; HCCME; heteroskedasticity; artificial regression; Gauss-Newton regression; GNR; structural break (search for similar items in EconPapers)
Pages: 15 pages
Date: 1988
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Published in Empirical Economics, 14, 1989

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http://qed.econ.queensu.ca/working_papers/papers/qed_wp_717.pdf First version 1988 (application/pdf)

Related works:
Journal Article: Heteroskedasticity-Robust Tests for Structural Change (1989)
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Persistent link: https://EconPapers.repec.org/RePEc:qed:wpaper:717

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