An Asymptotically F-Distributed Chow Test in the Presence of Heteroscedasticity and Autocorrelation

• Tác giả: Yixiao Sun, Xuexin Wang
• Ngôn ngữ: eng
• Ký hiệu phân loại: 511.4 Approximations formerly also 513.24 and expansions
• Thông tin xuất bản: 2019
• Bộ sưu tập: Metadata
• ID: 163583

Tóm tắt

This study proposes a simple, trustworthy Chow test in the presence of heteroscedasticity and autocorrelation. The test is based on a series heteroscedasticity and autocorrelation robust variance estimator with judiciously crafted basis functions. Like the Chow test in a classical normal linear regression, the proposed test employs the standard F distribution as the reference distribution, which is justified under fixed-smoothing asymptotics. Monte Carlo simulations show that the null rejection probability of the asymptotic F test is closer to the nominal level than that of the chi-square test.