The power of two exact tests for structural change in the presence of heteroskedasticity |
| |
| Authors: | A Buse NK Dastor |
| |
| Institution: | Department of Economics , University of Alberta , Edmonton, Alberta, T6G 2H4, Canada |
| |
| Abstract: | This paper compares analytically the power of the Jayatissa (1977) and Tsurumi (1984) tests for structural change in a heteroskedastic normal linear regression model with two equal-sized independent sub-samples. It is shown that the non-centrality parameter of the Tsurumi test cannot exceed that of the Jayatissa test and some conditions are obtained under which one test dominates the other. |
| |
| Keywords: | equal-sized sub-samples heteroskedasticity Jayatissa test structural change Tsurumi test |
|
|
