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

Yıl 1987, Cilt: 36 Sayı: 02, 0 - 0, 01.01.1987

Aysıt Tansel

https://doi.org/10.1501/Commua1_0000000540

Öz

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.

Anahtar Kelimeler

Application, Testing, Structural Change

Kaynakça

• Ankara Üniversitesi – Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics Dergisi