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The New Econometrics of Structural Change: Dating Breaks in U.S. Labour Productivity

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  • Bruce E. Hansen

Abstract

We have seen the emergence of three major innovations in the econometrics of structural change in the past fifteen years: (1) tests for a structural break of unknown timing; (2) estimation of the timing of a structural break; and (3) tests to distinguish unit roots from broken time trends. These three innovations have dramatically altered the face of applied time series econometrics. In this paper, we review these three innovations, and illustrate their application through an empirical assessment of U.S. labor productivity in the manufacturing/durables sector.

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File URL: http://www.aeaweb.org/articles.php?doi=10.1257/jep.15.4.117
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Bibliographic Info

Article provided by American Economic Association in its journal Journal of Economic Perspectives.

Volume (Year): 15 (2001)
Issue (Month): 4 (Fall)
Pages: 117-128

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Handle: RePEc:aea:jecper:v:15:y:2001:i:4:p:117-128

Note: DOI: 10.1257/jep.15.4.117
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  1. David H. Papell & Christian J. Murray & Hala Ghiblawi, 2000. "The Structure of Unemployment," The Review of Economics and Statistics, MIT Press, vol. 82(2), pages 309-315, May.
  2. Eric Zivot & Donald W.K. Andrews, 1990. "Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 944, Cowles Foundation for Research in Economics, Yale University.
  3. Banerjee, Anindya & Lumsdaine, Robin L & Stock, James H, 1992. "Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypotheses: Theory and International Evidence," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 10(3), pages 271-87, July.
  4. Bruce E. Hansen, 1998. "Testing for Structural Change in Conditional Models," Boston College Working Papers in Economics, Boston College Department of Economics 310., Boston College Department of Economics.
  5. Bai, Jushan, 1993. "Least squares estimation of a shift in linear processes," MPRA Paper 32878, University Library of Munich, Germany.
  6. Perron, P., 1994. "Further Evidence on Breaking Trend Functions in Macroeconomic Variables," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ 9421, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  7. Saikkonen, Pentti & L tkepohl, Helmut, 2002. "Testing For A Unit Root In A Time Series With A Level Shift At Unknown Time," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 18(02), pages 313-348, April.
  8. Tai-leung Chong, Terence, 1995. "Partial parameter consistency in a misspecified structural change model," Economics Letters, Elsevier, Elsevier, vol. 49(4), pages 351-357, October.
  9. Jushan Bai, 1997. "Estimation Of A Change Point In Multiple Regression Models," The Review of Economics and Statistics, MIT Press, vol. 79(4), pages 551-563, November.
  10. Hansen, Bruce E, 1997. "Approximate Asymptotic P Values for Structural-Change Tests," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 15(1), pages 60-67, January.
  11. David G. Fernandez, 1997. "Breaking Trends And The Money-Output Correlation," The Review of Economics and Statistics, MIT Press, vol. 79(4), pages 674-679, November.
  12. Donald W.K. Andrews & Werner Ploberger, 1992. "Optimal Tests When a Nuisance Parameter Is Present Only Under the Alternative," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1015, Cowles Foundation for Research in Economics, Yale University.
  13. Christiano, Lawrence J, 1992. "Searching for a Break in GNP," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 10(3), pages 237-50, July.
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  15. Perron, P. & Bai, J., 1995. "Estimating and Testing Linear Models with Multiple Structural Changes," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 9552, Universite de Montreal, Departement de sciences economiques.
  16. Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers, Princeton, Department of Economics - Econometric Research Program 338, Princeton, Department of Economics - Econometric Research Program.
  17. repec:cup:etheor:v:13:y:1997:i:3:p:315-52 is not listed on IDEAS
  18. Robin L. Lumsdaine & David H. Papell, 1997. "Multiple Trend Breaks And The Unit-Root Hypothesis," The Review of Economics and Statistics, MIT Press, vol. 79(2), pages 212-218, May.
  19. Jushan Bai, 1995. "Estimating Multiple Breaks One at a Time," Working papers 95-18, Massachusetts Institute of Technology (MIT), Department of Economics.
  20. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, Econometric Society, vol. 61(4), pages 821-56, July.
  21. Bai, Jushan & Lumsdaine, Robin L & Stock, James H, 1998. "Testing for and Dating Common Breaks in Multivariate Time Series," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 65(3), pages 395-432, July.
  22. Vogelsang, T.I. & Perron, P., 1991. "Nonstationary and Level Shifts With An Application To Purchasing Power Parity," Papers, Princeton, Department of Economics - Econometric Research Program 359, Princeton, Department of Economics - Econometric Research Program.
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