Inference in Econometric Models with Structural Change

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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Year of publication:	1987-04
Authors:	Andrews, Donald W.K. ; Fair, Ray C.
Institutions:	Cowles Foundation for Research in Economics, Yale University
Subject:	Chow test \| dynamic model \| econometric model \| Lagrange multiplier test \| likelihood ratio test \| structural change \| Wald test \| nonlinear model

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Extent:	application/pdf
Series:	Cowles Foundation Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	CFP 713. Published in Review of Economic Studies (1988), 55: 615-640 The price is None Number 832 60 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004990696