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Economic Structural Change

Analysis and Forecasting

  • Conference proceedings
  • © 1991

Overview

Editors:
  1. Peter Hackl

    1. Institut für Statistik, Wirtschaftsuniversität Wien, Wien, Austria

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  2. Anders Holger Westlund

    1. Stockholm School of Economics, Stockholm, Switzerland

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    You can also search for this editor in PubMed   Google Scholar

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Table of contents (22 papers)

  1. Front Matter

    Pages i-x
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  2. Introduction

    1. Introduction

      • Peter Hackl, Anders H. Westlund
      Pages 1-9

  3. Identification of Structural Change

    1. Front Matter

      Pages 11-11
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    2. Recursive M-Tests for the Change-Point Problem

      • Marie Hušková
      Pages 13-33

    3. Recursive vs. OLS Residuals in the CUSUM Test

      • Walter Krämer, Werner Ploberger, Irene SchlĂĽter
      Pages 35-47

    4. Kimball’s Inequality and Bounds Tests for Comparing Several Regressions under Heteroscedasticity

      • Jean-Marie Dufour
      Pages 49-57

    5. A Further Look at Model Evaluation

      • Bernd Schips, Yngve Abrahamsen
      Pages 59-75

    6. Bayesian Inferences about the Intersection of Two Regressions

      • Lyle D. Broemeling, Peyton J. Cook, Juanita H. Chin Choy
      Pages 77-84

    7. Nonparametric Sequential Surveillance of Intervention Effects in Time Series

      • Peter Hackl
      Pages 85-94

    8. A Monte Carlo Study of the Effects of Structural Breaks on Tests for Unit Roots

      • David F. Hendry, Adrian J. Neale
      Pages 95-119

  4. Model Building in the Presence of Structural Change

    1. Front Matter

      Pages 121-121
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    2. Forecast Encompassing and Model Evaluation

      • Maozu Lu, Grayham E. Mizon
      Pages 123-138

    3. An Introduction to Time-Varying Parameter Cointegration

      • Clive W. J. Granger, Hahn S. Lee
      Pages 139-157

    4. Disequilibrium Modeling, Switching Regressions, and Their Relationship to Structural Change

      • G. S. Maddala
      Pages 159-168

    5. Stochastic Trends in Simultaneous Equation Systems

      • Andrew C. Harvey, Mariane Streibel
      Pages 169-178

    6. Time-Varying Nonlinear Regression

      • Peter M. Robinson
      Pages 179-190

    7. Stability Analysis Using Kalman Filtering, Scoring, EM, and an Adaptive EM method

      • Wolfgang Schneider
      Pages 191-221

  5. Forecasting in the Presence of Structural Change

    1. Front Matter

      Pages 223-223
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    2. A Note on Bayesian Forecast Combination Procedures

      • Francis X. Diebold
      Pages 225-232

    3. A New Approach to Statistical Forecasting

      • Spyros Makridakis
      Pages 233-253
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Keywords

About this book

Structural change is a fundamental concept in economic model building. Statistics and econometrics provide the tools for identification of change, for estimating the onset of a change, for assessing its extent and relevance. Statistics and econometrics also have de­ veloped models that are suitable for picturing the data-generating process in the presence of structural change by assimilating the changes or due to the robustness to its presence. Important subjects in this context are forecasting methods. The need for such methods became obvious when, as a consequence of the oil price shock, the results of empirical analyses suddenly seemed to be much less reliable than before. Nowadays, economists agree that models with fixed structure that picture reality over longer periods are illusions. An example for less dramatic causes than the oil price shock with similarly profound effects is economic growth and its impacts on the economic system. Indeed, economic growth was a motivating concept for this volume. In 1983, the International Institute for Applied Systems Analysis (IIASA) in Laxen­ burg/ Austria initiated an ambitious project on "Economic Growth and Structural Change".

Editors and Affiliations

  • Institut fĂĽr Statistik, Wirtschaftsuniversität Wien, Wien, Austria

    Peter Hackl

  • Stockholm School of Economics, Stockholm, Switzerland

    Anders Holger Westlund

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