Another Look at Chow's Test for the Equality of Two Heteroscedastic Regression Models

Another Look at Chow's Test for the Equality of Two Heteroscedastic Regression Models This paper reviews tests of equality between the sets of coefficients in thetwo linear regression models, and examines the effect of heteroscedasticityin each model on the behaviour of one such test. A Monte Carlo evaluation,of the size in particular, shows that the usual Chow's F-ratio is wellbehaved as long as the sample sizes in the two models are equal and the twomodels exhibit the same form of heteroscedasticity which is moderate in thecontext of the values used. In such situations it is recommended that thetest be used directly to avoid the extra efforts involved in transformingthe original data in order to attain homoscedasticity. Quality & Quantity Springer Journals

Another Look at Chow's Test for the Equality of Two Heteroscedastic Regression Models

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Kluwer Academic Publishers
Copyright © 2004 by Kluwer Academic Publishers
Social Sciences; Methodology of the Social Sciences; Social Sciences, general
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