Testing for Heterogeneous Parameters in Least-Squares Approximations

Jayasri Dutta () and H. L. Leon

The Review of Economic Studies, 1991, vol. 58, issue 2, 299-320

Abstract: This paper suggests tests for the heterogeneity of parameters in linear least-squares estimation. The tests are based on the properties of resampled estimates, and test the hypotheses that the parameters have a common mean, or that they are independently and identically distributed. The tests can be viewed as the analogue of those based on recursive residuals, in cross-sectional models. We analyse the properties of tests based on jack-knifed estimates in the linear regression model, and compare their performance in a small empirical application.

Date: 1991
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Related works:
Working Paper: Testing for heterogeneous parameters in least-squares approximations (1991)
Working Paper: Testing for Heterogeneous Parameters in Least Squares Approximations (1990)
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Persistent link: https://EconPapers.repec.org/RePEc:oup:restud:v:58:y:1991:i:2:p:299-320.

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