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"Inference in Nonlinear Econometric Models with Structural
Change," (with D. K. Andrews), Review of Economic Studies,
October 1988, 615-640.
This paper extends the classical test for structural change in linear
regression models (see Chow (1960)) 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.
I have used some of the tests proposed in this paper in a number of
applications. They incorporate many of the kinds of models found in