The Wald and LM Testing for Structural Change in a Linear Simultaneous Equation Model

Soo Bin Park
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Soo Bin Park: Carlton University

Korean Economic Review, 1991, vol. 7, issue 2, 29-47

Abstract: The Wald-and LM-type tests are derived for structural changes in a single equation in the context of a linear simultaneous equation model estimated by the two-stage least squares or instrumental variable method. We find from a series of Monte Carlo experiments that the LM tests compare favorably to the Wald tests and that unless the subsamples are much unbalanced in their size or the total sample size is very small, the LM tests appear to be not seriously biased and acceptably powerful in finite samples.

Date: 1991
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