Testing for Structural Change in Linear Regression Models PDF Download

Author: Walter Krämer
Publisher: Springer Science & Business Media
ISBN: 3642484123
Category : Business & Economics
Languages : en
Pages : 134

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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

Author: Kang Hao
Publisher:
ISBN:
Category : Regression analysis
Languages : en
Pages : 456

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Author: W. KRAMER
Publisher: Springer
ISBN: 9780387912875
Category : Business & Economics
Languages : en
Pages : 189

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Author: Mumtaz Ahmed
Publisher:
ISBN:
Category :
Languages : en
Pages : 20

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The hypothesis of structural stability that the regression coefficients do not change over time is central to all applications of linear regression models. It is rather surprising that existing theory as well as practice focuses on testing for structural change under homoskedasticity - that is, regression coefficients may change, but the variances remain the same. Since structural change can, and often does, involve changes in variances, this is a puzzling gap in the literature. Our main focus in this paper is to utilize a newly developed test (MZ) by Maasoumi et al. (2010) that tests simultaneously for break in regression coefficients as well as in variance. Currently the sup F test is most widely used for structural change. This has certain optimality properties shown by Andrews (1993). However, this test assumes homoskedasticity across the structural change. We introduce the sup MZ test which caters to unknown breakpoints, and also compare it to the sup F. Our Monte Carlo results show that sup MZ test incurs only a low cost in case of homoskedasticity while having hugely better performance in case of heteroskedasticity. The simulation results are further supported by providing a real world application. In real world data sets, we find that structural change often involves heteroskedasticity. In such cases, the sup F test can fail to detect structural breaks and give misleading results, while the sup MZ test works well. We conclude that the sup MZ test is superior to current methodology for detecting structural change.

Author: Achim Zeileis
Publisher:
ISBN:
Category :
Languages : en
Pages : 34

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Author: T. Mills
Publisher: Springer
ISBN: 1137401907
Category : Business & Economics
Languages : en
Pages : 310

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Covers the key issues required for students wishing to understand and analyse the core empirical issues in economics. It focuses on descriptive statistics, probability concepts and basic econometric techniques and has an accompanying website that contains all the data used in the examples and provides exercises for undertaking original research.

Author: Fukang Zhu
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Author: Peter Hackl
Publisher: Springer Science & Business Media
ISBN: 366202571X
Category : Business & Economics
Languages : en
Pages : 495

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In 1984, the University of Bonn (FRG) and the International Institute for Applied System Analysis (IIASA) in Laxenburg (Austria), created a joint research group to analyze the relationship between economic growth and structural change. The research team was to examine the commodity composition as well as the size and direction of commodity and credit flows among countries and regions. Krelle (1988) reports on the results of this "Bonn-IIASA" research project. At the same time, an informal IIASA Working Group was initiated to deal with prob lems of the statistical analysis of economic data in the context of structural change: What tools do we have to identify nonconstancy of model parameters? What type of models are particularly applicable to nonconstant structure? How is forecasting affected by the presence of nonconstant structure? What problems should be anticipated in applying these tools and models? Some 50 experts, mainly statisticians or econometricians from about 15 countries, came together in Lodz, Poland (May 1985); Berlin, GDR (June 1986); and Sulejov, Poland (September 1986) to present and discuss their findings. This volume contains a selected set of those conference contributions as well as several specially invited chapters.

Author: Swee Liang Tan
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 452

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Author: Maxwell L. King
Publisher:
ISBN: 9780867467758
Category : Goodness-of-fit tests
Languages : en
Pages : 11

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