Some Consequences of Using the Chow Test in the Context of Autocorrelated Disturbances

We consider the true size of the Chow Test for the structural stability of a regression model when the disturbances are autocorrelated. We show that there may be considerable size distortion in the case of either AR(1) or MA(1) errors.


Issue Date:
Oct 10 1991
Publication Type:
Working or Discussion Paper
Language:
English
Total Pages:
15
Series Statement:
9112




 Record created 2017-09-13, last modified 2017-09-13

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