This paper extends the classical Chow (1960) test for structural change in linear regression models to a wide variety of nonlinear models, estimated by a variety of diﬀerent procedures. Wald, Lagrange multiplier-like, and likelihood ratio-like test statistics are introduced. The results allow for heterogeneity and temporal dependence of general unifying results for estimation and testing in nonlinear parametric econometric models.
Andrews, Donald W.K. and Fair, Ray C., "Inference in Econometric Models with Structural Change" (1987). Cowles Foundation Discussion Papers. 1075.