Econometrics of Structural Change (Studies in Empirical Economics) - Tapa blanda

 
9783642484148: Econometrics of Structural Change (Studies in Empirical Economics)
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ISBN 10: 364248414X ISBN 13: 9783642484148
Editorial: Physica, 2012

Sinopsis

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.

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Reseña del editor

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.

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Editorial
Physica
Año de publicación
2012
Idioma
Inglés
ISBN 10 
364248414X
ISBN 13 
9783642484148
Encuadernación
Tapa blanda
Número de páginas
144
Editor
Krämer Walter
Contacto del fabricante
ProductSafety@springernature.com
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Poststr. 9
Darmstadt
64293
Alemania

Otras ediciones populares con el mismo título

9780387913575: Econometrics of Structural Change (Studies in Empirical Economics)

Edición Destacada

ISBN 10:  0387913572 ISBN 13:  9780387913575
Editorial: Physica-Verlag Heidelberg,
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