CaltechAUTHORS
  A Caltech Library Service

Inference in Econometric Models with Structural Change

Andrews, Donald W. K. (1987) Inference in Econometric Models with Structural Change. Social Science Working Paper, 636. California Institute of Technology , Pasadena, CA. (Unpublished) https://resolver.caltech.edu/CaltechAUTHORS:20170911-143306646

[img] PDF (sswp 636 - Feb. 1987) - Submitted Version
See Usage Policy.

971Kb

Use this Persistent URL to link to this item: https://resolver.caltech.edu/CaltechAUTHORS:20170911-143306646

Abstract

This paper extends the classical Chow (1960) test for structural change in linear regress ion 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 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.


Item Type:Report or Paper (Discussion Paper)
Additional Information:The authors thank Charles Goleman, Douglas Rivers, Quang Vuong, and Guofu Tan for helpful comments. The first author thanks the California Institute of Technology for its hospitality while part of this research was carried out and the Alfred P. Sloan Foundation and the National Science Foundation for research support provided through a Research Fellowship and grant No. SES-8419789 respectively.
Group:Social Science Working Papers
Funders:
Funding AgencyGrant Number
NSFSES-8419789
Alfred P. Sloan FoundationUNSPECIFIED
NSF Graduate Research FellowshipUNSPECIFIED
Subject Keywords:Chow Test; Dynamic Model; Econometric Model; Lagrange Multiplier Test; Likelihood Ratio Test; Structural Change; Wald Test
Series Name:Social Science Working Paper
Issue or Number:636
Classification Code:JEL: 211, 212
Record Number:CaltechAUTHORS:20170911-143306646
Persistent URL:https://resolver.caltech.edu/CaltechAUTHORS:20170911-143306646
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:81312
Collection:CaltechAUTHORS
Deposited By: Jacquelyn Bussone
Deposited On:11 Sep 2017 23:48
Last Modified:03 Oct 2019 18:41

Repository Staff Only: item control page