Testing for Heteroskedasticity and Predictive Failure in Linear Regression Models
It is argued that, when researchers wish to carry out a Chow test of the significance of prediction errors, it is necessary to assume homoskedasticity because standard results on heteroskedasticity-robust tests are not available. The effects of heteroskedasticity on the Chow prediction error test are examined. The implementation of tests for heteroskedasticity is discussed, with the case in which the regressors include dummy variables for prediction error tests receiving special attention. Monte Carlo results are reported. Copyright (c) Blackwell Publishing Ltd and the Department of Economics, University of Oxford, 2008.
Year of publication: |
2008
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Authors: | Godfrey, L. G. |
Published in: |
Oxford Bulletin of Economics and Statistics. - Department of Economics, ISSN 0305-9049. - Vol. 70.2008, 3, p. 415-429
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Publisher: |
Department of Economics |
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