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"Inference in Nonlinear Econometric Models with Structural Change," (with D. K. Andrews), Review of Economic Studies, 1988.

Paper: pdf file Abstract
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.

Comments
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 practice.