A Joint Chow Test for Structural Instability
AbstractThe classical Chow (1960) test for structural instability requires strictly exogenous regressors and a break-point speci ed in advance. In this paper we consider two generalisations, the 1-step recursive Chow test (based on the sequence of studentized recursive residuals) and its supremum counterpart, which relax these requirements. We use results on strong consistency of regression estimators to show that the 1-step test is appropriate for stationary, unit root or explosive processes modelled in the autoregressive distributed lags (ADL) framework. We then use results in extreme value theory to develop a new supremum version of the test, suitable for formal testing of structural instability with an unknown break-point. The test assumes normality of errors, and is intended to be used in situations where this can either be assumed or established empirically.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Economics Group, Nuffield College, University of Oxford in its series Economics Papers with number 2012-W07.
Length: 20 pages
Date of creation: 25 Jun 2012
Date of revision:
Contact details of provider:
Web page: http://www.nuff.ox.ac.uk/economics/
Other versions of this item:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Assarsson, Bengt & Berg, Claes & Jansson, Per, 1999.
"Investment in Swedish Manufacturing: Analysis and Forecasts,"
Working Paper Series
95, Sveriges Riksbank (Central Bank of Sweden).
- Bengt Assarsson & Claes Berg & Per Jansson, 2004. "Investment in Swedish manufacturing: Analysis and forecasts," Empirical Economics, Springer, vol. 29(2), pages 261-280, 05.
- Hendry, David F, 1986. "Using PC-GIVE in Econometrics Teaching," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(1), pages 87-98, February.
- Jouni Sohkanen & B. Nielsen, 2009.
"Asymptotic behaviour of the CUSUM of squares test under stochastic and deterministic time trends,"
2009-W09, Economics Group, Nuffield College, University of Oxford.
- Nielsen, Bent & Sohkanen, Jouni S., 2011. "Asymptotic Behavior Of The Cusum Of Squares Test Under Stochastic And Deterministic Time Trends," Econometric Theory, Cambridge University Press, vol. 27(04), pages 913-927, August.
- Bent Nielsen & Jouni Sohkanen, 2009. "Asymptotic behaviour of the CUSUM of squares test under stochastic and deterministic time trends," Economics Series Working Papers 2009-W09, University of Oxford, Department of Economics.
- Johansen, S., 1999.
"A Bartlett Correction Factor for Tests on the Cointegrating Relations,"
Economics Working Papers
eco99/10, European University Institute.
- Johansen, S ren, 2000. "A Bartlett Correction Factor For Tests On The Cointegrating Relations," Econometric Theory, Cambridge University Press, vol. 16(05), pages 740-778, October.
- Dufour, Jean-Marie, 1982. "Recursive stability analysis of linear regression relationships: An exploratory methodology," Journal of Econometrics, Elsevier, vol. 19(1), pages 31-76, May.
- Bent Nielsen, 2003.
"Strong consistency results for least squares estimators in general vector autoregressions with deterministic terms,"
2003-W23, Economics Group, Nuffield College, University of Oxford.
- Nielsen, Bent, 2005. "Strong Consistency Results For Least Squares Estimators In General Vector Autoregressions With Deterministic Terms," Econometric Theory, Cambridge University Press, vol. 21(03), pages 534-561, June.
- Bent Nielsen, 2003. "Strong consistency results for least squares estimators in general vector autoregressions with deterministic terms," Economics Series Working Papers 2003-W23, University of Oxford, Department of Economics.
- Donald W.K. Andrews, 1990.
"Tests for Parameter Instability and Structural Change with Unknown Change Point,"
Cowles Foundation Discussion Papers
943, Cowles Foundation for Research in Economics, Yale University.
- Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-56, July.
- Bauer, Dietmar, 2009. "Almost Sure Bounds On The Estimation Error For Ols Estimators When The Regressors Include Certain Mfi(1) Processes," Econometric Theory, Cambridge University Press, vol. 25(02), pages 571-582, April.
- Bent Nielsen & Eric Engler, 2007.
"The empirical process of autoregressive residuals,"
2007-W01, Economics Group, Nuffield College, University of Oxford.
- Ploberger, Werner & Kramer, Walter, 1986. "On studentizing a test for structural change," Economics Letters, Elsevier, vol. 20(4), pages 341-344.
- Kramer, Walter & Ploberger, Werner & Alt, Raimund, 1988. "Testing for Structural Change in Dynamic Models," Econometrica, Econometric Society, vol. 56(6), pages 1355-69, November.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Maxine Collett).
If references are entirely missing, you can add them using this form.