Some consequences of using the Chow tests in the context of autocorrelated disturbances

DOI10.1016/0165-1765(92)90045-ZMaRDI QIDQ1206323zbMATH OpenFDO

Authors David E. Giles, Murray Scott

Publication date 1 April 1993

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(92)90045-Z

zbMATH Keywords

\(AR(1)\) errors\(MA(1)\) errorsautocorrelated errorstrue size of the Chow test for structural stability

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• On the reliability of Chow-type tests for parameter constancy in multivariate dynamic models.
• Interpretation and Use of Generalized Chow Tests
• On the robustness of the F-test to autocorrelation among disturbances
• THE EFFECT OF HETEROSCEDASTICITY ON THE ACTUAL SIZE OF THE CHOW TEST
• Testing for serial correlation in multivariate regression models

Cites work

• Algorithm AS 155: The Distribution of a Linear Combination of χ 2 Random Variables
• Effects of ARMA Errors on Tests for Regression Coefficients: Comments on Vinod's Article; Improved and Additional Results
• New Estimators of Disturbances in Regression Analysis
• On the robustness of the F-test to autocorrelation among disturbances
• SERIAL CORRELATION IN REGRESSION ANALYSIS. I
• TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION. II
• Tests of Equality Between Sets of Coefficients in Two Linear Regressions

Cited in

(3)

• THE EFFECT OF HETEROSCEDASTICITY ON THE ACTUAL SIZE OF THE CHOW TEST
• An asymptotically F-distributed Chow test in the presence of heteroscedasticity and autocorrelation
• On the reliability of Chow-type tests for parameter constancy in multivariate dynamic models.

Describes a project that uses

Uses Software

• AS 155

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