The hypothesis of structural stability that the regression coefficients do not change over time is central to all applications of linear regression models. It is rather surprising that existing theory as well as practice focuses on testing for structural change under homoskedasticity – that...

The hypothesis of structural stability that the regression coefficients do not change over time is central to all applications of linear regression models. It is rather surprising that existing theory as well as practice focuses on testing for structural change under homoskedasticity – that...

Analytic evaluation of heteroskedasticity consistent covariance matrix estimates (HCCME) is difficult because of the complexity of the formulae currently available. We obtain new analytic formulae for the bias of a class of estimators of the covariance matrix of OLS in a standard linear...