A Joint Chow Test for Structural Instability

A Joint Chow Test for Structural Instability

The classical Chow test for structural instability requires strictly exogenousregressors and a break-point specified in advance. In this paper, we consider twogeneralisations, the one-step recursive Chow test (based on the sequence of studentisedrecursive residuals) and its supremum counterpart, whi...

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Bibliographic Details
Main Authors: Bent Nielsen, Andrew Whitby
Format: Article
Language:English
Published: MDPI AG 2015-03-01
Series:Econometrics
Subjects:
Chow test
autoregressive distributed lag model
non-stationarity
Online Access:http://www.mdpi.com/2225-1146/3/1/156

Internet

http://www.mdpi.com/2225-1146/3/1/156

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