arXiv 9 Nov 2019 · Econometrics · publishedEconometric Reviews (2021) · 2 citations (OpenAlex)
arXiv:1911.03771 · PDF · DOI · OpenAlex · Extracted main text
This study proposes a simple, trustworthy Chow test in the presence of heteroscedasticity and autocorrelation. The test is based on a series heteroscedasticity and autocorrelation robust variance estimator with judiciously crafted basis functions. Like the Chow test in a classical normal linear regression, the proposed test employs the standard F distribution as the reference distribution, which is justified under fixed-smoothing asymptotics. Monte Carlo simulations show that the null rejection probability of the asymptotic F test is closer to the nominal level than that of the chi-square test.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Cho, C.-K. and Vogelsang, T. J (2017) Fixed-b inference for testing structural change in a time series regression | 0.644 | 2 | 2 | 100% |
| 2 | Sun, Y (2013) A heteroskedasticity and autocorrelation robust F test using orthonormal series variance estimator self | 0.511 | 2 | 1 | 100% |
| 3 | Andrews, D. W. K (1991) Heteroskedasticity and autocorrelation consistent covariance matrix estimation | 0.405 | 1 | 1 | 100% |
| 4 | Chow, G. C (1960) Tests of equality between sets of coefficients in two linear regressions | 0.405 | 1 | 1 | 100% |
| 5 | Giles, D. and Scott, M (1992) Some consequences of using the Chow test in the context of autocorrelated disturbances | 0.405 | 1 | 1 | 100% |
| 6 | Hwang, J. and Sun, Y (2017) Asymptotic F and t tests in an efficient GMM setting self | 0.405 | 1 | 1 | 100% |
| 7 | Jansson, M (2004) On the error of rejection probability in simple autocorrelation robust tests | 0.405 | 1 | 1 | 100% |
| 8 | Krämer, W (1989) The Robustness of the Chow Test to Autocorrelation among Disturbances, pages 45–52 | 0.405 | 1 | 1 | 100% |
| 9 | Kiefer, N. M. and Vogelsang, T. J (2002) 2002a Heteroskedasticity-autocorrelation robust testing using bandwidth equal to sample size | 0.405 | 1 | 1 | 100% |
| 10 | Kiefer, N. M. and Vogelsang, T. J (2002) 2002b Heteroskedasticity-autocorrelation robust standard errors using the Bartlett kernel without truncation | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 20 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Robust Inference on Infinite and Growing Dimensional Time Series Regression | 0.405 | 1 | 1 |
| 2 | Break-Point Date Estimation for Nonstationary Autoregressive and Predictive Regression Models | 0.405 | 1 | 1 |