An asymptotically F-distributed Chow test in the presence of heteroscedasticity and autocorrelation

DOI10.1080/07474938.2021.1874703MaRDI QIDQ5065204zbMATH OpenOpenAlexFDO

Authors Yixiao Sun, Xuexin Wang

Publication date 18 March 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1911.03771

zbMATH Keywords

Chow testF distributionheteroscedasticity and autocorrelationstructural break

Mathematics Subject Classification ID

Asymptotic properties of parametric tests (62F05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Abstract: This study proposes a simple, trustworthy Chow test in the presence of heteroscedasticity and autocorrelation. The test is based on a series heteroscedasticity and autocorrelation robust variance estimator with judiciously crafted basis functions. Like the Chow test in a classical normal linear regression, the proposed test employs the standard F distribution as the reference distribution, which is justified under fixed-smoothing asymptotics. Monte Carlo simulations show that the null rejection probability of the asymptotic F test is closer to the nominal level than that of the chi-square test.

Recommendations

• A heteroskedasticity and autocorrelation robust F test using an orthonormal series variance estimator
• THE EFFECT OF HETEROSCEDASTICITY ON THE ACTUAL SIZE OF THE CHOW TEST
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• A TEST OF AUTOCORRELATION IN THE PRESENCE OF HETEROSKEDASTICITY OF UNKNOWN FORM
• Some consequences of using the Chow tests in the context of autocorrelated disturbances

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Cited in

(5)

• scientific article; zbMATH DE number 168059 (Why is no real title available?)
• THE EFFECT OF HETEROSCEDASTICITY ON THE ACTUAL SIZE OF THE CHOW TEST
• A heteroskedasticity and autocorrelation robust F test using an orthonormal series variance estimator
• A robust test for autocorrelation in the presence of a structural break in variance
• Robust inference on infinite and growing dimensional time-series regression

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