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Econometrics of structural ...
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
Monografía
monografia Rebiun22137462 https://catalogo.rebiun.org/rebiun/record/Rebiun22137462 m o d cr bn||||||abp cr bn||||||ada 110904s1989 gw a ob 000 0 eng d 851800126 1001479406 1012436362 9783642484124 electronic bk.) 3642484123 electronic bk.) 3790804320 Physica-Verlag Heidelberg) 9783790804324 Physica-Verlag Heidelberg) 0387913572 Springer-Verlag New York) 9780387913575 Springer-Verlag New York) 9783642484148 364248414X 3642484123 10.1007/978-3-642-48412-4 doi AU@ 000051696744 NZ1 14998281 NZ1 15301130 OCLCE eng pn OCLCE OCLCQ OCLCO AU@ GW5XE OCLCF OCLCQ COO OCLCQ EBLCP OCLCQ UAB OCLCQ OCLCO dlr KCA bicssc BUS069030 bisacsh 330.182 83.03 bcl Econometrics of structural change Walter Krämer, editor Heidelberg Physica-Verlag ©1989 Heidelberg Heidelberg Physica-Verlag 1 online resource (vii, 128 pages) illustrations 1 online resource (vii, 128 pages) Text txt rdacontent computer c rdamedia online resource cr rdacarrier Studies in empirical economics Includes bibliographical references A modification of the CUSUM test in the linear regression model with lagged dependent variables / W. Ploberger, W. Krämer and R. Alt -- Heteroskedasticity-robust tests for structural change / J.G. MacKinnon -- A switching regression model with different change-points for individual coefficients and its application to the energy demand equations for Japan / T. Toyoda and K. Ohtani -- Testing for coefficient constancy in random walk models with particular reference to the initial value problem / S.J. Leybourne and B.P.M. McCabe -- Transformations for an exact goodness-of-fit test of structural change in the linear regression model / M.L. King and P.M. Edwards Robust Bayesian analysis of a parameter change in linear regression / K. Pötzelberger and W. Polasek -- The stability assumption in tests of causality between money and income / H. Lütkepohl -- A sequential approach to testing for structural change in econometric models / G.D.A. Phillips and B.P.M. McCabe -- Statistical analysis of "structural change" : an annotated bibliography / P. Hackland and A.H. Westlund Use copy. Restrictions unspecified star. MiAaHDL 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 Electronic reproduction. [S.l.] HathiTrust Digital Library 2011. MiAaHDL Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212 MiAaHDL digitized 2011 HathiTrust Digital Library committed to preserve pda MiAaHDL Econometric models Econometrics Economics, Mathematical Econometric models Econometrics Economics, Mathematical Econometrische modellen Statistiek Politique économique- Modèles mathématiques Économétrie Strukturwandel Ökonometrisches Modell Strukturwandel Ökonometrisches Modell Business & Economics Economic Theory Electronic books Krämer, Walter 1948-) Empirical economics Print version (OCoLC)20232187 Studies in empirical economics