- Communications Faculty of Sciences University Ankara Series A1 Mathematics and Statistics
- Vol: 36 Issue: 02
- Testing For Structural Change Under Heteroscedasticity :A Note And An Application
Testing For Structural Change Under Heteroscedasticity :A Note And An Application
Authors : Aysıt Tansel
Pages : 0-0
Doi:10.1501/Commua1_0000000540
View : 7 | Download : 4
Publication Date : 1987-01-01
Article Type : Research
Abstract :Testing for structural change or the Chow Test enjoyed numerous applications since its introduction by Chow. There have also been several extentions of this test. One of the more re- cent extentions is to the case of structures with unequal disturbance variances. This paper ex- tends the computationally sîmple Lagrange Multiplier test of structural change under hetero- scedasticity introduced by Erlat to the case of several structures. The result is then used in testing the Life-Cycle Hypothesis of saving utilizing household expenditure survey data of Ankara.Keywords : Application, Testing, Structural Change