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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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