Econometrics of Structural Change:
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 c...
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Heidelberg
Physica-Verlag HD
1989
|
| Ausgabe: | 1st ed. 1989 |
| Schriftenreihe: | Studies in Empirical Economics
|
| Schlagworte: | |
| Online-Zugang: | BTU01 URL des Erstveröffentlichers |
| Zusammenfassung: | 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 |
| Beschreibung: | 1 Online-Ressource (IX, 130 p) |
| ISBN: | 9783642484124 |
| DOI: | 10.1007/978-3-642-48412-4 |
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| spelling | Econometrics of Structural Change edited by Walter Krämer 1st ed. 1989 Heidelberg Physica-Verlag HD 1989 1 Online-Ressource (IX, 130 p) txt rdacontent c rdamedia cr rdacarrier Studies in Empirical Economics 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 Economic Theory/Quantitative Economics/Mathematical Methods Economic theory Strukturwandel (DE-588)4058136-6 gnd rswk-swf Ökonometrisches Modell (DE-588)4043212-9 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Strukturwandel (DE-588)4058136-6 s Ökonometrisches Modell (DE-588)4043212-9 s DE-604 Krämer, Walter edt Erscheint auch als Druck-Ausgabe 9783642484131 Erscheint auch als Druck-Ausgabe 9783790804324 Erscheint auch als Druck-Ausgabe 9783642484148 https://doi.org/10.1007/978-3-642-48412-4 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Econometrics of Structural Change Economic Theory/Quantitative Economics/Mathematical Methods Economic theory Strukturwandel (DE-588)4058136-6 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd |
| subject_GND | (DE-588)4058136-6 (DE-588)4043212-9 (DE-588)4143413-4 |
| title | Econometrics of Structural Change |
| title_auth | Econometrics of Structural Change |
| title_exact_search | Econometrics of Structural Change |
| title_exact_search_txtP | Econometrics of Structural Change |
| title_full | Econometrics of Structural Change edited by Walter Krämer |
| title_fullStr | Econometrics of Structural Change edited by Walter Krämer |
| title_full_unstemmed | Econometrics of Structural Change edited by Walter Krämer |
| title_short | Econometrics of Structural Change |
| title_sort | econometrics of structural change |
| topic | Economic Theory/Quantitative Economics/Mathematical Methods Economic theory Strukturwandel (DE-588)4058136-6 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd |
| topic_facet | Economic Theory/Quantitative Economics/Mathematical Methods Economic theory Strukturwandel Ökonometrisches Modell Aufsatzsammlung |
| url | https://doi.org/10.1007/978-3-642-48412-4 |
| work_keys_str_mv | AT kramerwalter econometricsofstructuralchange |