Testing for Heterogeneous Parameters in Least-Squares Approximations

S-Tier
Journal: Review of Economic Studies
Year: 1991
Volume: 58
Issue: 2
Pages: 299-320

Authors (2)

Score contribution per author:

4.036 = (α=2.02 / 2 authors) × 4.0x S-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This paper suggests tests for the heterogeneity of parameters in linear least-squares estimation. The tests are based on the properties of resampled estimates, and test the hypotheses that the parameters have a common mean, or that they are independently and identically distributed. The tests can be viewed as the analogue of those based on recursive residuals, in cross-sectional models. We analyse the properties of tests based on jack-knifed estimates in the linear regression model, and compare their performance in a small empirical application.

Technical Details

RePEc Handle
repec:oup:restud:v:58:y:1991:i:2:p:299-320
Journal Field
General
Author Count
2
Added to Database
2026-01-25