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A Bounds Test for Equality Between Sets of Coefficients in Two Linear Regression Models Under Heteroscedasticity

This article proposes a small sample bounds test for equality between sets of coefficients in two linear regressions with unequal disturbance variances. The probability that our test is inconclusive is given under the null hypothesis. It is also shown that our test is more powerful than the Jayatissa test when the regression coefficients differ substantially.
Year of publication:
1986
Authors: Ohtani, Kazuhiro ; Kobayashi, Masahito
Published in:
Econometric Theory. - Cambridge University Press. - Vol. 2.1986, 02, p. 220-231
Publisher: Cambridge University Press
Description of contents: Abstract [journals.cambridge.org]
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Type of publication: Article
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Persistent link: https://www.econbiz.de/10008739868
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