A comparison of several exact and approximate tests for structural shift under heteroscedasticity
A comparison of several exact and approximate tests for structural shift under heteroscedasticity
复制标题
异方差下结构位移的几种精确和近似检验的比较
DOI：
10.1016/0304-4076(92)90092-6
复制
发表时间：
1992
影响因子：
6.3
通讯作者：
Jerry G. Thursby
中科院分区：
文献类型：
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作者：
Jerry G. Thursby
已知回归系数相等性的Chow检验对异方差不稳健。最近，人们通过新的试验对这个问题给予了很大的注意。大部分的新程序是合理的，只有渐近和小已经做了检查有限样本的性质。甚至更少的注意力集中在比较测试下的零假设或备择假设。在本文中，我们纠正这些缺点，并提出了额外的测试。结果表明，有测试提供良好的采样特性，其中一些是计算上容易进行的研究人员的时间和计算时间的角度来看。
It is known that the Chow test for equality of regression coefficients is not robust to heteroscedasticity. Much recent attention has been paid to this problem by way of new tests. The bulk of the new procedures are justified only asymptotically and little has been done to examine finite sample properties. Even less attention has been focused on comparisons of tests under either the null or alternative hypotheses. In this paper we redress these shortcomings and also contribute by suggesting additional tests. The results indicate that there are tests available with good sampling characteristics, some of which are computationally easy to carry out from both the standpoint of the researcher's time and computation time.