COWLES FOUNDATION FOR RESEARCH IN ECONOMICS
AT YALE UNIVERSITY

Box 208281
New Haven, CT 06520-8281

COWLES FOUNDATION DISCUSSION PAPER NO. 943

"Tests for Parameter Instability and Structural Change
with Unknown Change Point"

Donald W.K. Andrews

April 1990.

This paper considers tests of parameter instability and structural change with unknown change point. The results apply to a wide class of parametric models including models that satisfy maximum likelihood type regularity conditions and models that are suitable for estimation by generalized method of moments procedures. The paper considers likelihood ratio and likelihood ratio like tests, as well as asymptotically equivalent Wald and Lagrange multiplier tests. Each test implicitly uses an estimate of change point. Tests of both "pure" and "partial" structural change are discussed.

Keywords: Asymptotic theory, parametric models, multiplier tests, structural change

JEL Classification: 211