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

1 August 1986

journal article
research article
Published by Cambridge University Press (CUP) in Econometric Theory

Vol. 2 (2) , 220-231
https://doi.org/10.1017/s0266466600011506

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.

Keywords

LINEAR REGRESSION MODEL

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