End-of-Sample Instability Tests
This paper considers tests for structural instability of short duration, such as at the end of the sample. The key feature of the testing problem is that the number, m, of observations in the period of potential change is relatively small-possibly as small as one. The well-known F test of Chow (1960) for this problem only applies in a linear regression model with normally distributed iid errors and strictly exogenous regressors, even when the total number of observations, n+m, is large. Copyright The Econometric Society 2003.
Volume (Year): 71 (2003)
Issue (Month): 6 (November)
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