An asymptotically F-distributed Chow test in the presence of heteroscedasticity and autocorrelation

Yixiao Sun and Xuexin Wang

Econometric Reviews, 2022, vol. 41, issue 2, 177-206

Abstract: This study proposes a simple, trustworthy Chow test in the presence of heteroscedasticity and autocorrelation. The test is based on a series heteroscedasticity and autocorrelation robust variance estimator with judiciously crafted basis functions. Like the Chow test in a classical normal linear regression, the proposed test employs the standard F distribution as the reference distribution, which is justified under fixed-smoothing asymptotics. Monte Carlo simulations show that the null rejection probability of the asymptotic F test is closer to the nominal level than that of the chi-square test.

Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:taf:emetrv:v:41:y:2022:i:2:p:177-206

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DOI: 10.1080/07474938.2021.1874703

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