Inference in Nonlinear Econometric Models with Structural Change
This paper extends the classical test for structural change in line ar regression models (see Chow\1960\) to a wide variety of nonlinear models, estimated by a variety of different procedures. Wald, Lagran ge multiplier-like, and likelihood ratio-like test statistics are int roduced. 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. Copyright 1988 by The Review of Economic Studies Limited.
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Volume (Year): 55 (1988)
Issue (Month): 4 (October)
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