Bootstrap test for a structural break under possible heteroscedasticity

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Author(s)

Abstract

In this article, we consider the Wald test statistic for testing equality between the sets of regression coefficients in two linear regression models when the disturbance variances may possibly be unequal. This test can be also used as a test for a structural break. However, it is well known that the test based on the Wald test statistic suffers from severe size distortion in small sample when the disturbance variances of the two regression models are unequal. Our simulation results show that substantial improvements are made when the bootstrap methods are applied.

Journal

  • Communications in Statistics - Simulation and Computation

    Communications in Statistics - Simulation and Computation 46(5), 4127-4139, 2017

    Taylor & Francis

Codes

  • NII Article ID (NAID)
    120006318787
  • Text Lang
    ENG
  • Article Type
    journal article
  • ISSN
    0361-0918
  • Data Source
    IR 
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