Electronic Resource
Springer
Empirical economics
14 (1989), S. 77-92
ISSN:
1435-8921
Source:
Springer Online Journal Archives 1860-2000
Topics:
Economics
Notes:
Summary It is remarkably easy to test for structural change, of the type that the classicFor “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.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1007/BF01980588
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