CFDP 832

Inference in Econometric Models with Structural Change


Publication Date: April 1987

Pages: 60


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.


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

JEL Classification Codes:  211, 212

See CFP: 713