A Joint Chow Test for Structural Instability

The classical Chow (1960) test for structural instability requires strictly exogenous regressors and a break-point speci ed 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, which relax these requirements. We use results on strong consistency of regression estimators to show that the 1-step test is appropriate for stationary, unit root or explosive processes modelled in the autoregressive distributed lags (ADL) framework. We then use results in extreme value theory to develop a new supremum version of the test, suitable for formal testing of structural instability with an unknown break-point. The test assumes normality of errors, and is intended to be used in situations where this can either be assumed or established empirically.

• Publication year

  2015

• Venue

  Unknown venue

• Publication date

  2015-03-12

• Fields of study

  Mathematics, Economics

• Identifiers
  DOI 10.3390/ECONOMETRICS3010156
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

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