This paper considers tests for structural instability of short duration, such as at the end of the sample. The key feature of the testing problem is that the number, , of observations in the period of potential change is relatively small—possibly as small as one. The well‐known test of Chow (1960) for this problem only applies in a linear regression model with normally distributed iid errors and strictly exogenous regressors, even when the total number of observations, +, is large.