COWLES FOUNDATION FOR RESEARCH IN ECONOMICS
AT YALE UNIVERSITY

Box 208281
New Haven, CT 06520-8281

COWLES FOUNDATION DISCUSSION PAPER NO. 832

"Inference in Econometric Models with Structural Change"

Donald W.K. Andrews and Ray C. Fair

April 1987

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