Testing For Structural Change Under Heteroscedasticity :A Note And An Application

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Communications Faculty of Sciences University Ankara Series A1 Mathematics and Statistics
Volume:36 Issue:02
Testing For Structural Change Under Heteroscedasticity :A Note And An Application

Testing For Structural Change Under Heteroscedasticity :A Note And An Application

Authors : Aysıt TANSEL

Pages : 0-0

Doi:10.1501/Commua1_0000000540

View : 18 | Download : 8

Publication Date : 1987-01-01

Article Type : Research Paper

Abstract :Testing for structural change or the Chow Test enjoyed numerous applications since its introduction by Chow. There have also been several extentions of this test. One of the more re- cent extentions is to the case of structures with unequal disturbance variances. This paper ex- tends the computationally sîmple Lagrange Multiplier test of structural change under hetero- scedasticity introduced by Erlat to the case of several structures. The result is then used in testing the Life-Cycle Hypothesis of saving utilizing household expenditure survey data of Ankara.
Keywords : Application, Testing, Structural Change

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