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Inference in Econometric Models with Structural Change

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  • Andrews, Donald W. K.
  • Fair, Ray C.

Abstract

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.
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Suggested Citation

  • Andrews, Donald W. K. & Fair, Ray C., 1987. "Inference in Econometric Models with Structural Change," Working Papers 636, California Institute of Technology, Division of the Humanities and Social Sciences.
    • Handle: RePEc:clt:sswopa:636
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    File URL: http://www.hss.caltech.edu/SSPapers/wp-old.pdf
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    2. Fair, Ray C, 1987. "International Evidence on the Demand for Money," The Review of Economics and Statistics, MIT Press, vol. 69(3), pages 473-480, August.
    3. Hall, Alastair R. & Han, Sanggohn & Boldea, Otilia, 2008. "Inference regarding multiple structural changes in linear models estimated via two stage least squares," MPRA Paper 9251, University Library of Munich, Germany, revised 20 Jun 2008.
    4. Otilia Boldea & Alastair Hall & Sanggohn Han, 2012. "Asymptotic Distribution Theory for Break Point Estimators in Models Estimated via 2SLS," Econometric Reviews, Taylor & Francis Journals, vol. 31(1), pages 1-33.
    5. Fair, Ray C & Dominguez, Kathryn M, 1991. "Effects of the Changing U.S. Age Distribution on Macroeconomic Equations," American Economic Review, American Economic Association, vol. 81(5), pages 1276-1294, December.

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