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Published September 11, 2017 | Submitted
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Inference in Econometric Models with Structural Change

Abstract

This paper extends the classical Chow (1960) test for structural change in linear regress ion 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 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.

Additional Information

The authors thank Charles Goleman, Douglas Rivers, Quang Vuong, and Guofu Tan for helpful comments. The first author thanks the California Institute of Technology for its hospitality while part of this research was carried out and the Alfred P. Sloan Foundation and the National Science Foundation for research support provided through a Research Fellowship and grant No. SES-8419789 respectively.

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August 22, 2023
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