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Testing for Heterogeneous Parameters in Least-Squares Approximations

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  • Jayasri Dutta
  • H. L. Leon

Abstract

This paper suggests tests for the heterogeneity of parameters in linear least-squares estimation. The tests are based on the properties of resampled estimates, and test the hypotheses that the parameters have a common mean, or that they are independently and identically distributed. The tests can be viewed as the analogue of those based on recursive residuals, in cross-sectional models. We analyse the properties of tests based on jack-knifed estimates in the linear regression model, and compare their performance in a small empirical application.

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  • Jayasri Dutta & H. L. Leon, 1991. "Testing for Heterogeneous Parameters in Least-Squares Approximations," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 58(2), pages 299-320.
    • Handle: RePEc:oup:restud:v:58:y:1991:i:2:p:299-320.
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    File URL: http://hdl.handle.net/10.2307/2297969
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    Cited by:

    1. Agenor, Pierre-Richard, 2002. "Does globalization hurt the poor?," Policy Research Working Paper Series 2922, The World Bank.

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