Some methods for comparing heteroscedastic regression models

Abstract

The Chow's test was proposed to test the equality of coefficients of two linear regression models under the assumption of homogeneity. We generalize the Chow's test and modified Chow's test to k-sample case. We propose the Wald-type test for testing the equivalence of coefficients of k linear models under homogeneity assumption. For heteroscedastic case, we adopt the same Wald test statistic using the approximate degree of freedom method to approximate its distribution. The simulation studies and real life examples are presented to examine the performances of the proposed test statistics.