Summary
Tests for changes in the coefficients of linear regression models, particularly the analysis of covariance and the Chow tests, are well known to econometricians and they are widely used. This paper demonstrates that analogous tests can also be constructed in static simultaneous equation models when equations are estimated by common k-class estimators, e.g., OLS, 2SLS, and LIML. The tests are based on the residuals obtained when the estimated endogenous part of a simultaneous equation is regressed on all the exogenous variables in the system. The tests have many of the characteristics of the regression based tests although the nature of the residuals used makes it more difficult to analyse their power properties.
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© 1989 Springer-Verlag Berlin Heidelberg
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Harvey, A.C., Phillips, G.D.A. (1989). Testing for Structural Change in Simultaneous Equation Models. In: Hackl, P. (eds) Statistical Analysis and Forecasting of Economic Structural Change. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-02571-0_2
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DOI: https://doi.org/10.1007/978-3-662-02571-0_2
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-662-02573-4
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