A joint Chow test for structural instability
The classical Chow test for structural instability requires strictly exogenous regressors and a break-point specified in advance. In this paper we consider two generalisations, the 1-step recursive Chow test (based on the sequence of studentized recursive residuals) and its supremum counterpart, whi...
Main Authors: | , |
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Format: | Journal article |
Language: | English |
Published: |
2015
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