Inference in Nonlinear Econometric Models with Structural Change

Donald Andrews () and Ray C. Fair

The Review of Economic Studies, 1988, vol. 55, issue 4, 615-640

Abstract: This paper extends the classical test for structural change in linear regression models (see Chow (1960)) 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 the observations. In the process of developing the above tests, the paper also provides a compact presentation of general unifying results for estimation and testing in nonlinear parametric econometric models.

Date: 1988
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Persistent link: https://EconPapers.repec.org/RePEc:oup:restud:v:55:y:1988:i:4:p:615-640.

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