A comparison of several exact and approximate tests for structural shift under heteroscedasticity

Ali, 1985, Tests for equality between sets of coefficients in two linear regressions under heteroscedasticity, Journal of the American Statistical Association, 80, 730, 10.2307/2288492 Chow, 1960, Tests of the equality between two sets of coefficients in two linear regressions, Econometrica, 28, 561, 10.2307/1910133 Conerly, 1988, An approximate test for comparing heteroscedastic regression models, Journal of the American Statistical Association, 83, 811, 10.2307/2289311 Conerly, 1989, An approximate test for comparing independent regression models with unequal error variances, Journal of Econometrics, 40, 239, 10.1016/0304-4076(89)90084-5 Dalal, 1988, A conservative test and confidence region for comparing heteroscedastic regressions, Biometrika, 75, 149, 10.1093/biomet/75.1.149 Dalal, 1989, An approximate test for comparing independent regression models with unequal error variances, Journal of Econometrics, 40, 239, 10.1016/0304-4076(89)90084-5 Das Gupta, 1974, Power of the noncentral F-test: Effect of additional variates on Hotelling's T2-test, Journal of the American Statistical Association, 69, 174, 10.2307/2285519 Davidson, 1981, Efficient estimation of tail-area probabilities in sampling experiments, Economics Letters, 8, 73, 10.1016/0165-1765(81)90096-3 Goldfeld, 1965, Some tests for heteroscedasticity, Journal of the American Statistical Association, 60, 539, 10.2307/2282689 Goldfeld, 1978, Asymptotic tests for the constancy of regressions in the heteroscedastic case Gupta, 1978, Testing the equality between sets of coefficients in two linear regressions when disturbance variances are unequal Honda, 1982, On tests of equality between sets of coefficients in two linear regressions when disturbance variances are unequal, The Manchester School, 49, 116, 10.1111/j.1467-9957.1982.tb01157.x Honda, 1986, Modified Wald tests in tests of equality between sets of coefficients in two linear regressions under heteroscedasticity, The Manchester School, 54, 208, 10.1111/j.1467-9957.1986.tb01266.x Jayatissa, 1977, Tests of equality between sets of coefficients in two linear regressions when disturbance variances are unequal, Econometrica, 45, 1291, 10.2307/1914075 Kadiyala, 1978, Tests for pooling cross-sectional data in the presence of heteroskedasticity, Bulletin of the Institute of Mathematical Statistics, 7, 275 Kobayashi, 1986, A bounds test of equality between sets of coefficients in two linear regressions when disturbance variances are unequal, Journal of the American Statistical Association, 81, 510, 10.2307/2289242 Ohtani, 1986, A bounds test for equality between sets of coefficients in two linear regression models under heteroscedasticity, Econometric Theory, 2, 220, 10.1017/S0266466600011506 Ohtani, 1985, Small sample properties of tests of equality between sets of coefficients in two linear regressions under heteroscedasticity, International Economic Review, 26, 37, 10.2307/2526525 Phillips, 1986, The exact distribution of the Wald statistic, Econometrica, 54, 881, 10.2307/1912841 Rothenberg, 1984, Hypothesis testing in linear models when the error covariance matrix is nonscalar, Econometrica, 52, 827, 10.2307/1911186 Satterthwaite, 1946, An approximate distribution of estimates of variance components, Biometrics, 2, 110, 10.2307/3002019 Schmidt, 1977, Some further evidence on the use of the Chow test under heteroskedasticity, Econometrica, 45, 1293, 10.2307/1914076 Toyoda, 1974, Use of the Chow test under heteroscedasticity, Econometrica, 42, 601, 10.2307/1911796 Toyoda, 1986, Testing equality between sets of coefficients after a preliminary test for equality of disturbance variances in two linear regressions, Journal of Econometrics, 31, 67, 10.1016/0304-4076(86)90056-4 Tsurumi, 1984, On Jayatissa's test of constancy of regressions under heteroscedasticity and some alternative test procedures, Economic Studies Quarterly, 35, 57 Tsurumi, 1985, Some tests for the constancy of regressions under heteroscedasticity, Journal of Econometrics, 27, 221, 10.1016/0304-4076(85)90089-2 Watt, 1979, Tests of equality between sets of coefficients in two linear regressions when disturbance variances are unequal: Some small sample properties, The Manchester School, 47, 391, 10.1111/j.1467-9957.1979.tb01363.x Weerahandi, 1987, Testing regression equality with unequal variances, Econometrica, 55, 1211, 10.2307/1911268 Zellner, 1962, An efficient method of estimating seemingly unrelated regressions and tests for aggregation bias, Journal of the American Statistical Association, 57, 348, 10.2307/2281644