The Performance of Structural Change Tests |
| |
Authors: | Pedro Bação |
| |
Affiliation: | (1) GEMF, Faculdade de Economia da Universidade de Coimbra, Av.Dias da Silva 165, 3004-512 Coimbra, Portugal |
| |
Abstract: | This paper provides analytical and Monte Carlo studies of the effect of different types of structural change (residual variance, process mean and process persistence) on the performance of the Chow/Wald stability test. We focus on the first-order autoregressive model, which has been used to estimate and assess changes in inflation persistence. Our results show that the autoregressive model is a difficult subject for the Chow test. |
| |
Keywords: | Chow test Wald test heteroscedasticity inflation persistence structural change |
本文献已被 SpringerLink 等数据库收录! |
|