Some tests for the constancy of regressions under heteroscedasticity

Hiroki Tsurumi, Neil Sheflin

Research output: Contribution to journalArticlepeer-review

10 Scopus citations

Abstract

For testing the equality of coefficients of a linear regression model under heteroscedasticity, we suggest an F criterion conditioned on the posterior mean of the ratio of standard deviations of error terms in two subsamples. For pairable subsamples, and exact F test is derived. Sampling experiments show that the Chow test differs substantially from the nominal significance level when the two subsample sizes are unequal, and that the F test conditioned on the posterior mean is superior to other tests when sample sizes are small.

Original languageEnglish (US)
Pages (from-to)221-234
Number of pages14
JournalJournal of Econometrics
Volume27
Issue number2
DOIs
StatePublished - Feb 1985

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

Fingerprint

Dive into the research topics of 'Some tests for the constancy of regressions under heteroscedasticity'. Together they form a unique fingerprint.

Cite this