Title

Inference in Econometric Models with Structural Change

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.

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