1. Overviews of econometric issues related to the instability of parameters are given in, e.g., Swamy (1971, 1974), Belsley and Kuh (1973), Cooley and Prescott (1973, 1976), Rosenberg (1973), Pagan (1980), Raj and Ullah (1981), and Chow (1984). Instability of the functional form is discussed in, e.g., Quandt (1958, 1972, 1982), Goldfeld and Quandt (1973, 1976), Kiefer (1978), Quandt and Ramsey (1978), and Maddala (1983).
2. The tests in question are discussed in Glejser (1969), and Goldfeld and Quandt (1972). Other, more recent tests for heteroskedasticity are treated in, e.g., Harvey (1978), Godfrey (1978), Breusch and Pagan (1979), White (1980), Koenker and Bassett (1982), Cragg (1983), and MacKinnon and White (1985).
3. Early discussion of the Chow test and related issues of coefficient stability can be found in, e.g., Chow (1960), Zellner (1962), Fisher (1970), and Brown, Durbin and Evans (1975). The effect of heteroskedasticity on Chow-type tests has received considerably more attention in the literature than that of serial correlation, e.g., in Toyoda (1974), Jayatissa (1977), Schmidt and Sickles (1977), Watt (1979), and Honda (1982). See also Dufour (1982) for a recent review.
4. The simulation experiments consider a wide range of interactions between the spatial autocorrelation and extent of heteroskedasticity, with the latter varying from a relative error variance ratio of 1 (no heteroskedasticity) to 4. Based on the invariance results of Breusch (1980), they may therefore be considered quite general, since the effect of the regression coefficients can be ignored. The only other factor which needs to be further considered is the structure of the weight matrix. For additional details, see Anselin (1987b), and also Anselin and Griffith (1988).
5. See, e.g., Savin (1980) for a more extensive discussion.