Tresting for Structural Change in Regression: an Empirical Likelihood Approach
نویسنده
چکیده
Author Contact: Lauren Dong, Statistics Canada; e-mail: [email protected]; FAX: (613) 951-3292 Abstract In this paper we derive an empirical likelihood type Wald (ELW)test for the problem testing for structural change in a linear regression model when the variance of error term is not known to be equal across regimes. The sampling properties of the ELW test are analyzed using Monte Carlo simulation. Comparisons of these properties of the ELW test and of three other commonly used tests (Jayatissa, Weerahandi, and Wald) are conducted. The finding is that the ELW test has very good power properties.
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