Econometrica: Jul 1960, Volume 28, Issue 3

Tests of Equality Between Sets of Coefficients in Two Linear Regressions

https://doi.org/0012-9682(196007)28:3<591:TOEBSO>2.0.CO;2-H
p. 591-605

Gregory C. Chow

Having estimated a linear regression with p coefficients, one may wish to test whether m additional observations belong to the same regression. This paper presents systematically the tests involved, relates the prediction interval (for m = 1) and the analysis of covariance (for m > p) within the framework of general linear hypothesis (for any m), and extends the results to testing the equality between subsets of coefficients.

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