Inference in Econometric Models with Structural Change

Authors

Donald W.K. Andrews
Ray C. Fair

Document Type

Discussion Paper

Publication Date

4-1-1987

CFDP Number

832

CFDP Pages

60

Abstract

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.

Recommended Citation

Andrews, Donald W.K. and Fair, Ray C., "Inference in Econometric Models with Structural Change" (1987). Cowles Foundation Discussion Papers. 1075.
https://elischolar.library.yale.edu/cowles-discussion-paper-series/1075