Document Type
Discussion Paper
Publication Date
4-1-1990
CFDP Number
943
CFDP Pages
78
Abstract
This paper considers tests of parameter instability and structural change with unknown change point. The results apply to a wide class of parametric models including models that satisfy maximum likelihood type regularity conditions and models that are suitable for estimation by generalized method of moments procedures. The paper considers likelihood ratio and likelihood ratio like tests, as well as asymptotically equivalent Wald and Lagrange multiplier tests. Each test implicitly uses an estimate of change point. Tests of both “pure” and “partial” structural change are discussed.
Recommended Citation
Andrews, Donald W.K., "Tests for Parameter Instability and Structural Change with Unknown Change Point" (1990). Cowles Foundation Discussion Papers. 1186.
https://elischolar.library.yale.edu/cowles-discussion-paper-series/1186