Title: The Performance of Structural Change Tests
Authors: Bação, Pedro 
Issue Date: 2006
Citation: Quality and Quantity. 40:4 (2006) 611-628
Abstract: 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.
URI: http://hdl.handle.net/10316/7919
Rights: openAccess
Appears in Collections:FEUC- Artigos em Revistas Internacionais

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