On the reliability of Chow-type tests for parameter constancy in multivariate dynamic models

The small sample properties of two types of Chow tests are investigated in the context of multiple time series systems. It is found that the tests may have substantially distorted size if the sample size is not large relative to the number of parameters in the model under study. In particular the te sts reject far too often in this situation. It is shown that bootstrap vers ions of the tests have much better properties in this respect. In other wor ds, the bootstrap can be used to size-adjust the tests. (C) 2001 Elsevier S cience B.V. All rights reserved.