Inference in Econometric Models with Structural Change

Preprint

preprint

Published in RePEc

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.

Keywords

LAGRANGE MULTIPLIER
ECONOMETRIC MODELS
TEST STATISTICS
CLASSICAL CHOW
PAPER EXTENDS
MULTIPLIER
NONLINEAR
MODELS

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Version 1, RePEc
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