论文信息 - Department of Economics Econometrics Working Paper Ewp0405 Tresting for Structural Change in Regression: an Empirical Likelihood Approach

Department of Economics Econometrics Working Paper Ewp0405 Tresting for Structural Change in Regression: an Empirical Likelihood Approach

Author Contact: Lauren Dong, Statistics Canada; e-mail: Lauren.Dong@statcan.can; FAX: (613) 951-3292 Abstract In this paper we derive an empirical likelihood type Wald (ELW)test for the problem testing for structural change in a linear regression model when the variance of error term is not known to be equal across regimes. The sampling properties of the ELW test are analyzed using Monte Carlo simulation. Comparisons of these properties of the ELW test and of three other commonly used tests (Jayatissa, Weerahandi, and Wald) are conducted. The finding is that the ELW test has very good power properties.

Lauren Bin Dong | L. Dong

[1] A. Owen. Empirical likelihood ratio confidence intervals for a single functional , 1988 .

[2] R. Oaxaca. Another Look at Tests of Equality between Sets of Coefficients in Two Linear Regressions , 1974 .

[3] Art B. Owen,et al. Empirical Likelihood for Linear Models , 1991 .

[4] Samaradasa Weerahandi,et al. TESTING REGRESSION EQUALITY WITH UNEQUAL VARIANCES , 1987 .

[5] W. Jayatissa. Tests of Equality between Sets of Coefficients in Two Linear Regressions when Disturbance Variances Are Unequal , 1977 .

[6] Peter A. Watt,et al. TESTS OF EQUALITY BETWEEN SETS OF COEFFICIENTS IN TWO LINEAR REGRESSIONS WHEN DISTURBANCE VARIANCES ARE UNEQUAL: SOME SMALL SAMPLE PROPERTIES* , 1979 .

[7] Lauren Bin Dong,et al. Department of Economics Econometrics Working Paper Ewp0404 the Behrens-fisher Problem: an Empirical Likelihood Approach , 2022 .

[8] Toshihisa Toyoda,et al. Small Sample Properties of Tests of Equality between Sets of Coefficients in Two Linear Regressions under Heteroscedasticity , 1985 .

[9] H. Theil. The Analysis of Disturbances in Regression Analysis , 1965 .

[10] George G. Judge,et al. Econometric foundations , 2000 .

[11] H. Theil. A Simplification of the BLUS Procedure for Analyzing Regression Disturbances , 1968 .

[12] D. Giles,et al. PRE-TEST ESTIMATION AND TESTING IN ECONOMETRICS: RECENT DEVELOPMENTS , 1993 .

[13] Asad Zaman,et al. Statistical Foundations for Econometric Techniques , 1996 .