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Econometrics of Structural Change (Paperback, Softcover reprint of the original 1st ed. 1988)
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Econometrics of Structural Change (Paperback, Softcover reprint of the original 1st ed. 1988)
Series: Studies in Empirical Economics
Expected to ship within 10 - 15 working days
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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.
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