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.

JEL Classification: 211, 212

Keywords: Chow test, dynamic model, econometric model, Lagrange multiplier test, likelihood ratio test, structural change, Wald test, nonlinear model