Inference in Econometric Models with Structural Change

Donald Andrews () and Ray Fair ()

No 832, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: 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.

Keywords: Chow test; dynamic model; econometric model; Lagrange multiplier test; likelihood ratio test; structural change; Wald test; nonlinear model (search for similar items in EconPapers)
Pages: 60 pages
Date: 1987-04
Note: CFP 713.
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Citations: View citations in EconPapers (4)

Published in Review of Economic Studies (1988), 55: 615-640

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