Godfrey, L. G. - In: Oxford Bulletin of Economics and Statistics 70 (2008) 3, pp. 415-429
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...