THE EFFECT OF HETEROSCEDASTICITY ON THE ACTUAL SIZE OF THE CHOW TEST
1996 年 26 巻 2 号 p. 127-134
詳細
1996 年 26 巻 2 号 p. 127-134
The Chow test is a test of equality of two sets of regression coefficients in two regression models under the assumption of homoscedasticity. Toyoda (1974) studied the actual size of the Chow test under heteroscedasticity. In this paper, we reexamine the same problem using the method of Takemura and Honda (1994), and pay particular attention to cases of small heteroscedasticity.
