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The independence of tests for structural change in regression models

Authors
Journal
Economics Letters
0165-1765
Publisher
Elsevier
Publication Date
Volume
12
Identifiers
DOI: 10.1016/0165-1765(83)90050-2

Abstract

Abstract It is shown that the common tests for stability of regression coefficients and of the disturbance variance in linear regression models are independent. This enables the size of the joint test procedure to be controlled exactly.

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