Chow-Type Tests under Heteroscedasticity

Martin A Koschat and Samaradasa Weerahandi

Journal of Business & Economic Statistics, 1992, vol. 10, issue 2, 221-28

Abstract: Inference for structural parameters that are common to several regressions is a frequent problem of statistical practice. In the unlikely case that the residual error variances are equal for all regressions, the inference problem usually has a closed-form solution within the standard regression framework. In the case of unequal and unknown residual error variances, the problem falls into the category of Behrens-Fisher problems. This article describes a comprehensive solution to this inference problem using the concept of a generalized p value introduced by Tsui and Weerahandi in 1989. An example investigating the effect on stock return due to a firm's inclusion in the Standard and Poor's 500 illustrates the method.

Date: 1992
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