Some Consequences of Using the Chow Test in the Context of Autocorrelated Disturbances
Giles, David; Scott, Murray
1991

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Abstract

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.

Details

Title Some Consequences of Using the Chow Test in the Context of Autocorrelated Disturbances
Author(s) Giles, David
Scott, Murray
Subject(s)
Issue Date Oct 10 1991
Publication Type Working or Discussion Paper
DOI and Other Identifiers 10.22004/ag.econ.263072
Record Identifier https://ageconsearch.umn.edu/record/263072
Language English
Total Pages 15
Series Statement 9112
Record Appears in University of Canterbury - New Zealand > Department of Economics Discussion Papers

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