Consistent testing for structural change at the ends of the sample

Michael McCracken

No 2012-029, Working Papers from Federal Reserve Bank of St. Louis

Abstract: In this paper we provide analytical and Monte Carlo evidence that Chow and Predictive tests can be consistent against alternatives that allow structural change to occur at either end of the sample. Attention is restricted to linear regression models that may have a break in the intercept. The results are based on a novel reparameterization of the actual and potential break point locations. Standard methods parameterize both of these locations as fixed fractions of the sample size. We parameterize these locations as more general integer valued functions. Power at the ends of the sample is evaluated by letting both locations, as a percentage of the sample size, converge to zero or one. We find that for a potential break point function, the tests are consistent against alternatives that converge to zero or one at sufficiently slow rates and are inconsistent against alternatives that converge sufficiently quickly. Monte Carlo evidence supports the theory though large samples are sometimes needed for reasonable power.

Keywords: Econometric; models (search for similar items in EconPapers)
Date: 2012
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://research.stlouisfed.org/wp/2012/2012-029.pdf (application/pdf)

Related works:
Chapter: Consistent Testing for Structural Change at the Ends of the Sample (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fedlwp:2012-029

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in Working Papers from Federal Reserve Bank of St. Louis Contact information at EDIRC.
Bibliographic data for series maintained by Scott St. Louis ().