Tests for Equality Between Sets of Coefficients in Two Linear Regressions Under Heteroscedasticity
针对时间序列数据中结构变化常伴随方差变化的问题，提出了两个比传统Chow检验更稳健的检验方法，并验证了其高检验功效。
Abstract Structural shift is a common problem in a relationship dealing with time series data. Chow (1960) developed a test to detect such a shift under the assumption that observations both before and after the shift have the same variance. Structural shifts, however, often accompany changes in variance as well, and the Chow test is not robust to such changes. Two relatively robust tests are proposed and are found to be highly powerful.