A large-sample Chow test for the linear simultaneous equation

DOI10.1016/0165-1765(85)90051-5MaRDI QIDQ375134zbMATH OpenOpenAlexFDO

Authors Andrew W. Lo, Whitney Newey

Publication date 24 October 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(85)90051-5

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Recommendations

• Interpretation and Use of Generalized Chow Tests
• A new test for structural stability in the linear regression model
• Tests of overidentification and predeterminedness in simultaneous equation models
• End-of-Sample Instability Tests
• Wald tests for the independence of stochastic variables and disturbance of a single linear stochastic simultaneous equation

Cites work

• A note on testing for structural change in a single equation belonging to a simultaneous system
• Computation of linear hypothesis tests for two-stage least squares
• Tests of Equality Between Sets of Coefficients in Two Linear Regressions

Cited in

(2)

• Structural change and unit roots
• Invariant distribution of Chow statistics

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