Inference in Nonlinear Econometric Models with Structural Change

DOI10.2307/2297408zbMath0683.62067OpenAlexW2171074864MaRDI QIDQ4733273

Ray C. Fair, Donald W. K. Andrews

Publication date: 1988

Published in: The Review of Economic Studies (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/7b700aba141a4cc3a42570962f427ddd4f8e15f8

zbMATH Keywords

likelihood ratio testWald testasymptotic testsheteroskedasticityLagrange multiplier testtemporal dependencenoncentral chi-squaresequences of local alternativestesting for structural changeasymptotically chi- squaresimultaneous and nonlinear models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

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