Some Consequences of Using the Chow Test in the Context of Autocorrelated Disturbances

David Giles and Murray Scott

No 263072, Department of Economics Discussion Papers from University of Canterbury - New Zealand

Abstract: We consider the true size of the Chow Test for the structural stability of a regression model when the disturbances are autocorrelated. We show that there may be considerable size distortion in the case of either AR(1) or MA(1) errors.

Keywords: Agribusiness; Financial Economics (search for similar items in EconPapers)
Pages: 15
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Persistent link: https://EconPapers.repec.org/RePEc:ags:canzdp:263072

DOI: 10.22004/ag.econ.263072

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