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Econometrics of Structural Change

  • Conference proceedings
  • © 1989

Overview

Editors:
  1. Walter Krämer

    1. Department of Statistics, University of Dortmund, Dortmund 50, Germany

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Part of the book series: Studies in Empirical Economics (STUDEMP)

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Table of contents (9 papers)

  1. Front Matter

    Pages I-IX
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  2. A Modification of the CUSUM Test in the Linear Regression Model with Lagged Dependent Variables

    • Werner Ploberger, Walter Krämer, Raimund Alt
    Pages 1-11

  3. Heteroskedasticity-Robust Tests for Structural Change

    • James G. MacKinnon
    Pages 13-28

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

    • Toshihisa Toyoda, Kazuhiro Ohtani
    Pages 29-39

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

    • S. J. Leybourne, B. P. M. McCabe
    Pages 41-48

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

    • Maxwell L. King, Phillip M. Edwards
    Pages 49-57

  7. Robust Bayesian Analysis of a Parameter Change in Linear Regression

    • Klaus Pötzelberger, Wolfgang Polasek
    Pages 59-73

  8. The Stability Assumption in Tests of Causality Between Money and Income

    • Helmut Lütkepohl
    Pages 75-86

  9. A Sequential Approach to Testing for Structural Change in Econometric Models

    • Garry D. A. Phillips, Brendan P. M. McCabe
    Pages 87-101

  10. Statistical Analysis of “Structural Change”: An Annotated Bibliography

    • Peter Hackl, Anders H. Westlund
    Pages 103-128

  11. Back Matter

    Pages 129-130
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Keywords

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.

Editors and Affiliations

  • Department of Statistics, University of Dortmund, Dortmund 50, Germany

    Walter Krämer

Bibliographic Information

  • Book Title: Econometrics of Structural Change

  • Editors: Walter Krämer

  • Series Title: Studies in Empirical Economics

  • DOI: https://doi.org/10.1007/978-3-642-48412-4

  • Publisher: Physica Heidelberg

  • eBook Packages: Springer Book Archive

  • Copyright Information: Springer-Verlag Berlin Heidelberg 1989

  • Softcover ISBN: 978-3-642-48414-8Published: 12 June 2012

  • eBook ISBN: 978-3-642-48412-4Published: 06 December 2012

  • Series ISSN: 1431-8830

  • Series E-ISSN: 2196-8950

  • Edition Number: 1

  • Number of Pages: IX, 130

  • Topics: Economic Theory/Quantitative Economics/Mathematical Methods

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