Heteroskedasticity-Robust Tests for Structural Change

James MacKinnon

Empirical Economics, 1989, vol. 14, issue 2, 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
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