Testing for Heterogeneous Parameters in Least-Squares Approximations.

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 test can be viewed as the analogue of those based on recursive residuals in cross-sectional models. The authors analyze the properties of tests based on jack-knifed estimates in the linear regression model and compare their performance in a small empirical application. Copyright 1991 by The Review of Economic Studies Limited.