SOME CONSEQUENCES OF USING THE CHOW TEST IN THE CONTEXT OF AUTOCORRELATED DISTURBANCES

被引：5

作者：

GILES, D

SCOTT, M

机构：

[1] University of Canterbury, Christchurch

来源：

ECONOMICS LETTERS | 1992年 / 38卷 / 02期

关键词：

D O I：

10.1016/0165-1765(92)90045-Z

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We consider the true size of the Chow test for the structural stability of a regression model when the disturbances are autocorrelated. We show that there may be considerable size distortion in the case of either AR(1) OT MA(1) errors.

引用

页码：145 / 150

页数：6

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