A large-sample Chow test for the linear simultaneous equation

DOI10.1016/0165-1765(85)90051-5zbMATH Open1273.62275OpenAlexW1984295105MaRDI QIDQ375134FDOQ375134

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

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

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (2)

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

This page was built for publication: A large-sample Chow test for the linear simultaneous equation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q375134)