You might also like

More about Econometrics of Structural Change

• Book details
• Synopsis
• Trending among others

You get 304 loyalty points

Book synopsis

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.

Book details

Book category Books in English Economics, finance, business & management Economics Economic theory & philosophy

• Full title: Econometrics of Structural Change
• Author: Walter Krämer
• Language: English
• Binding: Paperback
• Number of pages: 130
• EAN: 9783642484148
• ISBN: 9783642484148
• ID: 06616333
• Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
• Weight: 262 g
• Dimensions: 244 × 170 × 9 mm
• Date of publishing: 12. June 2012

Trending among others

---

---

---