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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Quality & Quantity Springer Journals

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

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Publisher
Kluwer Academic Publishers
Copyright
Copyright © 2004 by Kluwer Academic Publishers
Subject
Social Sciences; Methodology of the Social Sciences; Social Sciences, general
ISSN
0033-5177
eISSN
1573-7845
D.O.I.
10.1023/B:QUQU.0000013246.83707.6f
Publisher site
See Article on Publisher Site

Abstract

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.

Journal

Quality & QuantitySpringer Journals

Published: Oct 18, 2004

References

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