Structural break

[6] Other challenges occur where there are: The Chow test is not applicable in these situations, since it only applies to models with a known breakpoint and where the error variance remains constant before and after the break.

[7][5][6] Bayesian methods exist to address these difficult cases via Markov chain Monte Carlo inference.

[4] The sup-Wald, sup-LM, and sup-LR tests are asymptotic in general (i.e., the asymptotic critical values for these tests are applicable for sample size n as n → ∞),[11] and involve the assumption of homoskedasticity across break points for finite samples;[4] however, an exact test with the sup-Wald statistic may be obtained for a linear regression model with a fixed number of regressors and independent and identically distributed (IID) normal errors.

[11] A method developed by Bai and Perron (2003) also allows for the detection of multiple structural breaks from data.

There are many statistical packages that can be used to find structural breaks, including R,[17] GAUSS, and Stata, among others.