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.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
