Location of Repository

A Joint Chow Test for Structural Instability

By Bent Nielsen and Andrew Whitby

Abstract

The classical Chow (1960) 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, 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.

Year: 2012
OAI identifier: oai:CiteSeerX.psu:10.1.1.309.3742
Provided by: CiteSeerX
Download PDF:
Sorry, we are unable to provide the full text but you may find it at the following location(s):
  • http://citeseerx.ist.psu.edu/v... (external link)
  • http://www.nuff.ox.ac.uk/econo... (external link)
  • Suggested articles


    To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.