Studies in Empirical Economics

Econometrics of Structural Change

Editors: Krämer, Walter (Ed.)

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About this book

Econometric models are made up of assumptions which never exactly match reality. Among the most contested ones is the requirement that the coefficients of an econometric model remain stable over time. Recent years have therefore seen numerous attempts to test for it or to model possible structural change when it can no longer be ignored. This collection of papers from Empirical Economics mirrors part of this development. The point of departure of most studies in this volume is the standard linear regression model Yt = x;fJt + U (t = I, ... , 1), t where notation is obvious and where the index t emphasises the fact that structural change is mostly discussed and encountered in a time series context. It is much less of a problem for cross section data, although many tests apply there as well. The null hypothesis of most tests for structural change is that fJt = fJo for all t, i.e. that the same regression applies to all time periods in the sample and that the disturbances u are well behaved. The well known Chow test for instance assumes t that there is a single structural shift at a known point in time, i.e. that fJt = fJo (t< t*), and fJt = fJo + t1fJ (t"?:. t*), where t* is known.

Table of contents (9 chapters)

  • A Modification of the CUSUM Test in the Linear Regression Model with Lagged Dependent Variables

    Ploberger, Werner (et al.)

    Pages 1-11

  • Heteroskedasticity-Robust Tests for Structural Change

    MacKinnon, James G.

    Pages 13-28

  • A Switching Regression Model with Different Change-Points for Individual Coefficients and its Application to the Energy Demand Equations for Japan

    Toyoda, Toshihisa (et al.)

    Pages 29-39

  • Testing for Coefficient Constancy in Random Walk Models with Particular Reference to the Initial Value Problem

    Leybourne, S. J. (et al.)

    Pages 41-48

  • Transformations for an Exact Goodness-of-Fit Test of Structural Change in the Linear Regression Model

    King, Maxwell L. (et al.)

    Pages 49-57

Buy this book

eBook $99.00
price for USA (gross)
  • ISBN 978-3-642-48412-4
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $129.00
price for USA
valid through November 5, 2017
  • ISBN 978-3-642-48414-8
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Econometrics of Structural Change
Editors
  • Walter Krämer
Series Title
Studies in Empirical Economics
Copyright
1989
Publisher
Physica-Verlag Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-642-48412-4
DOI
10.1007/978-3-642-48412-4
Softcover ISBN
978-3-642-48414-8
Series ISSN
1431-8830
Edition Number
1
Number of Pages
IX, 130
Topics