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Author : Kang Hao
Publisher :
ISBN 13 :
Total Pages : 456 pages
Book Rating : 4.:/5 (225 download)
Download or read book Testing for Structural Change in Linear Regression Models written by Kang Hao and published by . This book was released on 1994 with total page 456 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : W. Kraemer
Publisher : Springer Science & Business Media
ISBN 13 : 3642958761
Total Pages : 195 pages
Book Rating : 4.6/5 (429 download)
Download or read book The Linear Regression Model Under Test written by W. Kraemer and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 195 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph grew out of joint work with various dedicated colleagues and students at the Vienna Institute for Advanced Studies. We would probably never have begun without the impetus of Johann Maurer, who for some time was the spiritus rector behind the Institute's macromodel of the Austrian economy. Manfred Deistler provided sustained stimulation for our research through many discussions in his econometric research seminar. Similar credits are due to Adrian Pagan, Roberto Mariano and Garry Phillips, the econometrics guest professors at the Institute in the 1982 - 1984 period, who through their lectures and advice have contributed greatly to our effort. Hans SchneeweiB offered helpful comments on an earlier version of the manuscript, and Benedikt Poetscher was always willing to lend a helping . hand when we had trouble with the mathematics of the tests. Needless to say that any errors are our own. Much of the programming for the tests and for the Monte Carlo experiments was done by Petr Havlik, Karl Kontrus and Raimund Alt. Without their assistance, our research project would have been impossible. Petr Havlik and Karl Kontrus in addition. read and criticized portions of the manuscript, and were of great help in reducing our error rate. Many of the more theoretical results in this monograph would never have come to light without the mathematical expertise of Werner Ploberger, who provided most of the statistical background of the chapter on testing for structural change . .
Author : Walter Krämer
Publisher : Springer Science & Business Media
ISBN 13 : 3642484123
Total Pages : 134 pages
Book Rating : 4.6/5 (424 download)
Download or read book Econometrics of Structural Change written by Walter Krämer and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 134 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Mumtaz Ahmed
Publisher :
ISBN 13 :
Total Pages : 20 pages
Book Rating : 4.:/5 (13 download)
Download or read book Detecting Structural Change with Heteroskedasticity written by Mumtaz Ahmed and published by . This book was released on 2019 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 13 :
Total Pages : 34 pages
Book Rating : 4.:/5 (248 download)
Download or read book Strucchange: an R package for testing for structural change in linear regression models written by Achim Zeileis and published by . This book was released on 2001 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : T. Mills
Publisher : Springer
ISBN 13 : 1137401907
Total Pages : 310 pages
Book Rating : 4.1/5 (374 download)
Download or read book Analysing Economic Data written by T. Mills and published by Springer. This book was released on 2013-12-10 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Peter Hackl
Publisher : Springer Science & Business Media
ISBN 13 : 366202571X
Total Pages : 495 pages
Book Rating : 4.6/5 (62 download)
Download or read book Statistical Analysis and Forecasting of Economic Structural Change written by Peter Hackl and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 495 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Maxwell L. King
Publisher :
ISBN 13 : 9780867467758
Total Pages : 11 pages
Book Rating : 4.4/5 (677 download)
Download or read book Transformations for an Exact Goodness-to-fit Test of Structural Change in the Linear Regression Model written by Maxwell L. King and published by . This book was released on 1989 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Walter Krämer
Publisher : Springer
ISBN 13 : 9780387913575
Total Pages : 128 pages
Book Rating : 4.9/5 (135 download)
Download or read book Econometrics of Structural Change written by Walter Krämer and published by Springer. This book was released on 1989 with total page 128 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jushan Bai
Publisher :
ISBN 13 :
Total Pages : 54 pages
Book Rating : 4.:/5 (247 download)
Download or read book Estimating and Testing Linear Models with Multiple Structural Changes written by Jushan Bai and published by . This book was released on 1995 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Swee Liang Tan
Publisher :
ISBN 13 :
Total Pages : 452 pages
Book Rating : 4.:/5 (223 download)
Download or read book Aspects of Testing for a Structural Break in the Linear Regression Model written by Swee Liang Tan and published by . This book was released on 1994 with total page 452 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : G. Forchini
Publisher :
ISBN 13 :
Total Pages : 21 pages
Book Rating : 4.:/5 (156 download)
Download or read book Weighted Average Power Similar Tests for Structural Change for the Gaussian Linear Regression Model written by G. Forchini and published by . This book was released on 2005 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Inference Regarding Multiple Structural Changes in Linear Models Estimated via Two Stage Least Squares written by and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Bai and Perron(1998) develop methods that are designed to test for structural stability with an unknown number of break points in the sample. Their analysis is in the context of linear regression models estimated via Ordinary Least Squares(OLS). We extend Bai and Perron's framework for multiple break testing to linear models via Two Stage Least Squares(2SLS). Within our framework, the break points are estimated simultaneously with the regression parameters via minimization of the residual sum of squares on the second step of the 2SLS estimation. We establish the consistency of the resulting estimated break point fractions and obtain the standard convergence rate of break fraction estimators. Based on that convergence rate we derive the limiting distribution of the break point estimators. We prove that the break point estimator have the same limiting distribution of the arg max of two sided Brownian motion process, which is the same distribution considered by Bai and Perron(1998). We also show that various F-statistics for structural instability based on the 2SLS estimator have the same limiting distribution as the analogous statistics for OLS considered by Bai and Perron(1998). This allows us to extend Bai and Perron's(1998) sequential procedure for selecting the number of break points to the 2SLS setting. Simulation experiment and application to financial market has been implemented.
Author : Mumtaz Ahmed
Publisher :
ISBN 13 :
Total Pages : 16 pages
Book Rating : 4.:/5 (13 download)
Download or read book Changing Point and Parameter Instability with Heteroskedastic Models written by Mumtaz Ahmed and published by . This book was released on 2014 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : B. A. Inder
Publisher :
ISBN 13 : 9780732603892
Total Pages : 24 pages
Book Rating : 4.6/5 (38 download)
Download or read book Testing for Structural Change in Cointegrated Regression Models written by B. A. Inder and published by . This book was released on 1993 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Kang Hao
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (86 download)
Download or read book Testing for Structural Change in Cointegrated Regression Models written by Kang Hao and published by . This book was released on 1996 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Peter Hackl
Publisher : Springer Science & Business Media
ISBN 13 : 3662068249
Total Pages : 377 pages
Book Rating : 4.6/5 (62 download)
Download or read book Economic Structural Change written by Peter Hackl and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 377 pages. Available in PDF, EPUB and Kindle. Book excerpt: Structural change is a fundamental concept in economic model building. Statistics and econometrics provide the tools for identification of change, for estimating the onset of a change, for assessing its extent and relevance. Statistics and econometrics also have de veloped models that are suitable for picturing the data-generating process in the presence of structural change by assimilating the changes or due to the robustness to its presence. Important subjects in this context are forecasting methods. The need for such methods became obvious when, as a consequence of the oil price shock, the results of empirical analyses suddenly seemed to be much less reliable than before. Nowadays, economists agree that models with fixed structure that picture reality over longer periods are illusions. An example for less dramatic causes than the oil price shock with similarly profound effects is economic growth and its impacts on the economic system. Indeed, economic growth was a motivating concept for this volume. In 1983, the International Institute for Applied Systems Analysis (IIASA) in Laxen burg/ Austria initiated an ambitious project on "Economic Growth and Structural Change".
