Inference in Econometric Models with Structural Change
This paper extends the classical Chow (1960) test for structural change in linear regression 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 general unifying results for estimation and testing in nonlinear parametric econometric models.
(This abstract was borrowed from another version of this item.)
|Date of creation:||Feb 1987|
|Contact details of provider:|| Postal: Working Paper Assistant, Division of the Humanities and Social Sciences, 228-77, Caltech, Pasadena CA 91125|
Phone: 626 395-4065
Fax: 626 405-9841
Web page: http://www.hss.caltech.edu/ss
|Order Information:|| Postal: Working Paper Assistant, Division of the Humanities and Social Sciences, 228-77, Caltech, Pasadena CA 91125|
References listed on IDEAS
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.:
- Donald W.K. Andrews, 1986. "Consistency in Nonlinear Econometric Models: A Generic Uniform Law of Large Numbers," Cowles Foundation Discussion Papers 790, Cowles Foundation for Research in Economics, Yale University.
- Bierens, Herman J., 1984. "Model specification testing of time series regressions," Journal of Econometrics, Elsevier, vol. 26(3), pages 323-353, December.
- Bates, Charles & White, Halbert, 1985.
"A Unified Theory of Consistent Estimation for Parametric Models,"
Cambridge University Press, vol. 1(02), pages 151-178, August.
- Charles Bates & Halbert White, 1984. "A Unified Theory of Consistent Estimation for Parametric Models," Working papers 359, Massachusetts Institute of Technology (MIT), Department of Economics.
- Potscher, Benedikt M & Prucha, Ingmar R, 1989.
"A Uniform Law of Large Numbers for Dependent and Heterogeneous Data Processes,"
Econometric Society, vol. 57(3), pages 675-683, May.
- Potscher, Benedikt M. & Prucha, Ingmar R., 1987. "A Uniform Law of Large Numbers for Dependent and Heterogeneous Data Process," Working Papers 87-26, C.V. Starr Center for Applied Economics, New York University.
- RICHARD, Jean-François, "undated".
"Models with several regimes and changes in exogeneity,"
CORE Discussion Papers RP
392, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- J.-F. Richard, 1980. "Models with Several Regimes and Changes in Exogeneity," Review of Economic Studies, Oxford University Press, vol. 47(1), pages 1-20.
- Fair, Ray C, 1970. "The Estimation of Simultaneous Equation Models with Lagged Endogenous Variables and First Order Serially Correlated Errors," Econometrica, Econometric Society, vol. 38(3), pages 507-516, May.
- Newey, Whitney & West, Kenneth, 2014.
"A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix,"
Publishing House "SINERGIA PRESS", vol. 33(1), pages 125-132.
- Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-708, May.
- Whitney K. Newey & Kenneth D. West, 1986. "A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix," NBER Technical Working Papers 0055, National Bureau of Economic Research, Inc.
- Amemiya, Takeshi, 1977. "The Maximum Likelihood and the Nonlinear Three-Stage Least Squares Estimator in the General Nonlinear Simultaneous Equation Model," Econometrica, Econometric Society, vol. 45(4), pages 955-968, May.
- Lo, Andrew W. & Newey, Whitney K., 1985. "A large-sample chow test for the linear simultaneous equation," Economics Letters, Elsevier, vol. 18(4), pages 351-353.
- Domowitz, Ian & White, Halbert, 1982. "Misspecified models with dependent observations," Journal of Econometrics, Elsevier, vol. 20(1), pages 35-58, October.
- Andrews, Donald W. K., 1987.
"Asymptotic Results for Generalized Wald Tests,"
Cambridge University Press, vol. 3(03), pages 348-358, June.
- Pollard, David, 1985. "New Ways to Prove Central Limit Theorems," Econometric Theory, Cambridge University Press, vol. 1(03), pages 295-313, December.
When requesting a correction, please mention this item's handle: RePEc:clt:sswopa:636. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Victoria Mason)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.