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Chow-Type Tests under Heteroscedasticity

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  • Koschat, Martin A
  • Weerahandi, Samaradasa

Abstract

Inference for structural parameters that are common to several regressions is a frequent problem of statistical practice. In the unlikely case that the residual error variances are equal for all regressions, the inference problem usually has a closed-form solution within the standard regression framework. In the case of unequal and unknown residual error variances, the problem falls into the category of Behrens-Fisher problems. This article describes a comprehensive solution to this inference problem using the concept of a generalized p value introduced by Tsui and Weerahandi in 1989. An example investigating the effect on stock return due to a firm's inclusion in the Standard and Poor's 500 illustrates the method.

Suggested Citation

  • Koschat, Martin A & Weerahandi, Samaradasa, 1992. "Chow-Type Tests under Heteroscedasticity," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(2), pages 221-228, April.
  • Handle: RePEc:bes:jnlbes:v:10:y:1992:i:2:p:221-28
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    Cited by:

    1. Malwane Ananda, 1995. "GeneralizedF-tests for unbalanced nested designs under heteroscedasticity," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 47(4), pages 731-742, December.
    2. Ananda, Malwane M. A., 1998. "Bayesian and non-bayesian solutions to analysis of covariance models under heteroscedasticity," Journal of Econometrics, Elsevier, vol. 86(1), pages 177-192, June.
    3. Shin-Fu Tsai, 2019. "Comparing Coefficients Across Subpopulations in Gaussian Mixture Regression Models," Journal of Agricultural, Biological and Environmental Statistics, Springer;The International Biometric Society;American Statistical Association, vol. 24(4), pages 610-633, December.
    4. Maasoumi, Esfandiar & Zaman, Asad & Ahmed, Mumtaz, 2010. "Tests for structural change, aggregation, and homogeneity," Economic Modelling, Elsevier, vol. 27(6), pages 1382-1391, November.
    5. Weerahandi, Samaradasa & Koschat, Martin A., 2007. "Experimentation on heterogeneous experimental units," Statistics & Probability Letters, Elsevier, vol. 77(11), pages 1077-1083, June.

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