An asymptotically F-distributed Chow test in the presence of heteroscedasticity and autocorrelation-Reference-Cited by-同舟云学术

An asymptotically F-distributed Chow test in the presence of heteroscedasticity and autocorrelation

Published:2021-03-15 Issue: Volume: Page:1-35
ISSN:0747-4938
Container-title:Econometric Reviews
language:en
Short-container-title:Econometric Reviews

Author:

Sun Yixiao¹,Wang Xuexin²

Affiliation:

1. Department of Economics, UC San Diego, La Jolla, California, USA

2. MOE Key Laboratory of Econometrics, The Wang Yanan Institute for Studies in Economics, Department of Statistics, School of Economics, Fujian Key Lab of Statistics, Xiamen University, Xiamen, China

Publisher

Informa UK Limited

Subject

Economics and Econometrics

Link

https://www.tandfonline.com/doi/pdf/10.1080/07474938.2021.1874703

Reference23 articles.

1. Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

2. Fixed-b Inference for Testing Structural Change in a Time Series Regression

3. Tests of Equality Between Sets of Coefficients in Two Linear Regressions

4. Some consequences of using the Chow test in the context of autocorrelated disturbances

5. AsymptoticFandttests in an efficient GMM setting

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