Published February 1987
| Submitted
Discussion Paper
Open
Inference in Econometric Models with Structural Change
- Creators
- Andrews, Donald W. K.
Chicago
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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.Attached Files
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Additional details
- Eprint ID
- 81312
- Resolver ID
- CaltechAUTHORS:20170911-143306646
- NSF
- SES-8419789
- Alfred P. Sloan Foundation
- NSF Graduate Research Fellowship
- Created
-
2017-09-11Created from EPrint's datestamp field
- Updated
-
2019-10-03Created from EPrint's last_modified field
- Caltech groups
- Social Science Working Papers
- Series Name
- Social Science Working Paper
- Series Volume or Issue Number
- 636