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Heteroskedasticity-Robust Tests for Structural Change

  • James G. MacKinnon
Part of the Studies in Empirical Economics book series (STUDEMP)

Summary

It is remarkably easy to test for structural change, of the type that the classic For “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.

Keywords

Linear Regression Model Versus Test Monte Carlo Experiment Nonlinear Regression Model Chow Test 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Physica-Verlag Heidelberg 1989

Authors and Affiliations

  • James G. MacKinnon
    • 1
  1. 1.Department of EconomicsQueen’s UniversityKingstonCanada

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