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Generalized Predictive Tests and Structural Change Analysis in Econometrics

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  • Dufour, Jean-Marie
  • Ghysels, Eric
  • Hall, Alastair

Abstract

A generalized predictive testing procedure for structural stability in nonlinear dynamic simultaneous equations models is presented. It has several attractive features: (1) the tests are based on easy-to-compute predicted residuals; (2) the prediction subsample can be arbitrarily small; (3) only consistency is required and allowance is made for data-based model selection; (4) it is possible to analyze the timing and form of structural change equation by equation or globally, allowing an exploratory analysis of structural change conveniently summarized in a predictive analysis table; and (5) general forms of temporal dependence between model disturbances are allowed. Copyright 1994 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.

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Bibliographic Info

Article provided by Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association in its journal International Economic Review.

Volume (Year): 35 (1994)
Issue (Month): 1 (February)
Pages: 199-229

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Handle: RePEc:ier:iecrev:v:35:y:1994:i:1:p:199-229

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Cited by:
  1. John M Maheu & Stephen Gordon, 2007. "Learning, Forecasting and Structural Breaks," Working Papers tecipa-284, University of Toronto, Department of Economics.
  2. Benner, Joachim & Carstensen, Kai & Gern, Klaus-Jürgen & Oskamp, Frank & Scheide, Joachim, 2004. "Euroland: Konjunktur verliert wieder an Fahrt," Open Access Publications from Kiel Institute for the World Economy 3371, Kiel Institute for the World Economy (IfW).
  3. Ghysels, Eric & Guay, Alain, 2003. "Structural change tests for simulated method of moments," Journal of Econometrics, Elsevier, vol. 115(1), pages 91-123, July.
  4. René Garcia & Eric Ghysels, 1996. "Structural Change and Asset Pricing in Emerging Markets," CIRANO Working Papers 96s-34, CIRANO.
  5. Dufour, Jean-Marie & Pelletier, Denis & Renault, Eric, 2006. "Short run and long run causality in time series: inference," Journal of Econometrics, Elsevier, vol. 132(2), pages 337-362, June.
  6. Oliner, Stephen D. & Rudebusch, Glenn D. & Sichel, Daniel, 1996. "The Lucas critique revisited assessing the stability of empirical Euler equations for investment," Journal of Econometrics, Elsevier, vol. 70(1), pages 291-316, January.
  7. Tommaso Mancini-Griffoli & Laurent L. Pauwels, 2006. "Is There a Euro Effect on Trade? An Application of End-of-Sample Structural Break Tests for Panel Data," IHEID Working Papers 04-2006, Economics Section, The Graduate Institute of International Studies, revised Apr 2006.
  8. Kai Carstensen & Roberta Colavecchio, 2004. "Did the Revision of the ECB Monetary Policy Strategy Affect the Reaction Function?," Kiel Working Papers 1221, Kiel Institute for the World Economy.
  9. Tommaso Mancini Griffoli, 2006. "Explaining the Euro's Effect on Trade? Interest Rates in an Augmented Gravity Equation," IHEID Working Papers 10-2006, Economics Section, The Graduate Institute of International Studies.
  10. Eric Ghysels & Alain Guay, 2001. "Testing for Structural Change in the Presence of Auxiliary Models," CIRANO Working Papers 2001s-54, CIRANO.
  11. Patrick Richard, 2010. "Kernel smoothing end of sample instability tests P values," Cahiers de recherche 10-19, Departement d'Economique de la Faculte d'administration à l'Universite de Sherbrooke.
  12. Benner, Joachim & Carstensen, Kai & Gern, Klaus-Jürgen & Oskamp, Frank & Scheide, Joachim, 2004. "Euroland: Recovery will slow down," Kiel Discussion Papers 415, Kiel Institute for the World Economy (IfW).
  13. Dufour, Jean-Marie & Kiviet, Jan F., 1996. "Exact tests for structural change in first-order dynamic models," Journal of Econometrics, Elsevier, vol. 70(1), pages 39-68, January.

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