By Peter Hackl
Structural switch is a primary idea in monetary version development. records and econometrics give you the instruments for id of swap, for estimating the onset of a transformation, for assessing its quantity and relevance. data and econometrics even have de veloped versions which are compatible for picturing the data-generating procedure within the presence of structural swap by means of assimilating the alterations or a result of robustness to its presence. very important topics during this context are forecasting tools. the necessity for such equipment turned noticeable while, as a result of the oil expense surprise, the result of empirical analyses without notice looked to be less trustworthy than sooner than. these days, economists agree that types with fastened constitution that photograph truth over longer sessions are illusions. An instance for much less dramatic explanations than the oil fee surprise with equally profound results is financial progress and its affects at the economy. certainly, financial progress used to be a motivating notion for this quantity. In 1983, the overseas Institute for utilized structures research (IIASA) in Laxen burg/ Austria initiated an formidable venture on "Economic development and Structural Change".
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Additional info for Economic Structural Change: Analysis and Forecasting
1989d), Some asymptotics for MOSUM M-tests. Submitted. Huskova, M. K. (1989), Nonparametric tests for shift and change in regression at an unknown time point, pp. 73-87 in P. ), Statistical Analysis and Forecasting of Economic Structural Change. Berlin: Springer-Verlag. , and Siegmund, D. (1987), Tests for change point. Biometrika, 74,71-84. , and Siegmund, D. (1988). Conditional boundary crossing probabilities with applications to change-point problems. Annals of Probability, 16, 825-839. Lombard, F.
Using an extension of Kimball's inequality, we give simple exact bounds for the null distribution of a general Wald-type statistic for testing any set of linear restrictions linking the coefficients of the regressions. The bounds proposed are based on central Fisher distributions, so that the p-values can be obtained by using any program that computes the central Fisher distribution. In particular, the bounds suggested are much easier to compute than earlier bounds proposed by Ohtani and Kobayashi (1986) and Farebrother (1989), especially when more than two regressions are considered.
1989), The local power of the CUSUM and CUSUM of squares tests. Forthcoming in Econometric Theory. , and Kontrus, K. (1989), A new test for structural stability in the linear regression model. Journal of Econometrics, 40, 307-318. K. (1982), Invariance principles for recursive residuals. The Annals of Statistics, 10, 307-312, CHAPTER 4 Kimball's Inequality and Bounds Tests for Comparing Several Regressions under Heteroscedasticity Jean-Marie Dufour Summary This chapter studies the problem of comparing the coefficients of several independent linear regressions with unequal variances.
Economic Structural Change: Analysis and Forecasting by Peter Hackl