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A Bounds Test for Equality Between Sets of Coefficients in Two Linear Regression Models Under Heteroscedasticity

Published online by Cambridge University Press:  18 October 2010

Kazuhiro Ohtani  and
Masahito Kobayashi
Kazuhiro Ohtani
Affiliation:
Department of Economics, Kobe University of Commerce
Masahito Kobayashi
Affiliation:
Institute of Economic Research, Kyoto University
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Abstract

This article proposes a small sample bounds test for equality between sets of coefficients in two linear regressions with unequal disturbance variances. The probability that our test is inconclusive is given under the null hypothesis. It is also shown that our test is more powerful than the Jayatissa test when the regression coefficients differ substantially.

Type
Articles
Information
Econometric Theory , Volume 2 , Issue 2 , August 1986 , pp. 220 - 231
Copyright
Copyright © Cambridge University Press 1986

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