Structural Changes And Their Econometric Modeling
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Structural Changes and their Econometric Modeling
This book focuses on structural changes and economic modeling. It presents papers describing how to model structural changes, as well as those introducing improvements to the existing before-structural-changes models, making it easier to later on combine these models with techniques describing structural changes. The book also includes related theoretical developments and practical applications of the resulting techniques to economic problems. Most traditional mathematical models of economic processes describe how the corresponding quantities change with time. However, in addition to such relatively smooth numerical changes, economical phenomena often undergo more drastic structural change. Describing such structural changes is not easy, but it is vital if we want to have a more adequate description of economic phenomena – and thus, more accurate and more reliable predictions and a better understanding on how best to influence the economic situation.
Structural Change in Macroeconomic Models
Author: M.J. Vilares
language: en
Publisher: Springer Science & Business Media
Release Date: 2012-12-06
This book grew out of a 'Doctorat D'Etat' thesis presented at the University of Dijon-Institut Mathematique Economiques (lME). It aims to show that quantity rationing theory provides the means of improving macroeconometric modelling in the study of struc tural changes. The empirical results presented in the last chapter (concerning Portuguese economy) and in the last Appendix (con cerning the French economy), although preliminary, suggested that the effort is rewarding and should be continued. My debts are many. An important part of the research work was accomplished during my visit to the Institut National de la Statistique et des Etudes Economiques (lNSEE, Paris), where I have beneficted from stimulating discussions (particularly with P. Villa) and infor matical support. I have also received comments and suggestions from R. Quandt, J.-J. Laffont, P. Kooiman and P.-Y. Henin. I am specially indebted to P. Balestra for encouraging and valuable discussions, particularly in the field of econometric methods. My thanks go also to an anonymous referee. His constructive criticism and suggestions resulted in a number of improvements to an earlier version of this book. I cannot forget my friend A. Costa from BP A (Porto) who has helped me in the preparation of this work. Last but not least, I would like to thank my wife for her encouragement and patience throughout these years. Of course, I am the only one responsible for any remaining errors.
Econometrics of Structural Change
Author: Walter Krämer
language: en
Publisher: Springer Science & Business Media
Release Date: 2012-12-06
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