Tests for Parameter Instability and Structural Change with Unknown Change Point

Donald W. K. Andrews

Abstract

This paper considers tests of parameter instability and structural change with unknown change point. The results apply to a wide class of parametric models including models that satisfy maximum likelihood type regularity conditions and models that are suitable for estimation by generalized method of moments procedures. The paper considers likelihood ratio and likelihood ratio like tests, as well as asymptotically equivalent Wald and Lagrange multiplier tests. Each test implicitly uses an estimate of change point. Tests of both "pure" and "partial" structural change are discussed.

Keywords

Score testMathematicsParametric statisticsLikelihood-ratio testLagrange multiplierWald testMaximum likelihoodInstabilityPoint estimationApplied mathematicsPoint (geometry)EconometricsStatistical hypothesis testingStatisticsMathematical optimizationGeometryMechanicsPhysics

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Publication Info

Year: 1990
Type: preprint
Citations: 22
Access: Closed

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APA Style

                            
                                    Donald W. K. Andrews
                                
                            (1990). 
                            Tests for Parameter Instability and Structural Change with Unknown Change Point. 
                            RePEc: Research Papers in Economics
                            
                            .