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...

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Bibliographic Details
Main Authors: Nielsen, B, Whitby, A
Format: Journal article
Language:English
Published: 2015