Abstract
This paper considers the effect of heteroscedastic regression errors on the size of the Chow test for structural stability. We show that bounds can be placed on the true size of this test in the light of such misspecification, and on the true critical value needed to achieve any desired significance level when using the test under various degrees of heteroscedasticity. These bounds are data-independent, and some cases are tabulated. Examples are given to illustrate the practical application of the critical value bounds.
| Original language | English |
|---|---|
| Pages (from-to) | 687-703 |
| Number of pages | 17 |
| Journal | Communications in Statistics - Theory and Methods |
| Volume | 22 |
| Issue number | 3 |
| DOIs | |
| State | Published - 1 Jan 1993 |
| Externally published | Yes |
Keywords
- heteroscedasticity
- model misspecification
- regression
- structural change