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A Quasi-Bayesian Analysis of Structural Breaks: China's Output and Productivity Series

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  • Xiao-Ming Li

    (Department of Commerce, Massey University-Albany, New Zealand)

Abstract

A quasi-Bayesian model selection approach is employed to detect the number and dates of structural changes in China's GDP and labour productivity data. It is shown that the predictive likelihood information criterion is valid only among models with well-behaved residuals.

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Bibliographic Info

Article provided by College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan in its journal International Journal of Business and Economics.

Volume (Year): 3 (2004)
Issue (Month): 1 (April)
Pages: 57-65

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Handle: RePEc:ijb:journl:v:3:y:2004:i:1:p:57-65

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Postal: 100 Wenhwa Road, Seatwen, Taichung
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Related research

Keywords: structural change; predictive likelihood; GDP; labour productivity; China;

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References

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  1. Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers 338, Princeton, Department of Economics - Econometric Research Program.
  2. Nunes, Luis C & Newbold, Paul & Kuan, Chung-Ming, 1997. "Testing for Unit Roots with Breaks: Evidence on the Great Crash and the Unit Root Hypothesis Reconsidered," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 59(4), pages 435-48, November.
  3. Newbold, Paul & Leybourne, Stephen & Wohar, Mark E., 2001. "Trend-stationarity, difference-stationarity, or neither: further diagnostic tests with an application to U.S. Real GNP, 1875-1993," Journal of Economics and Business, Elsevier, vol. 53(1), pages 85-102.
  4. Perron, P., 1994. "Further Evidence on Breaking Trend Functions in Macroeconomic Variables," Cahiers de recherche 9421, Centre interuniversitaire de recherche en ├ęconomie quantitative, CIREQ.
  5. 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.
  6. Ben-David, D. & Papell, D.H., 1996. "Slowdowns and Meltdowns: Post-War Growth Evidence from 74 Countries," Papers 9-96, Tel Aviv.
  7. Vogelsang, Timothy J., 1997. "Wald-Type Tests for Detecting Breaks in the Trend Function of a Dynamic Time Series," Econometric Theory, Cambridge University Press, vol. 13(06), pages 818-848, December.
  8. Inwood, Kris & Stengos, Thanasis, 1991. "Discontinuities in Canadian economic growth, 1870-1985," Explorations in Economic History, Elsevier, vol. 28(3), pages 274-286, July.
  9. Bai, Jushan, 1999. "Likelihood ratio tests for multiple structural changes," Journal of Econometrics, Elsevier, vol. 91(2), pages 299-323, August.
  10. Jushan Bai & Pierre Perron, 1998. "Estimating and Testing Linear Models with Multiple Structural Changes," Econometrica, Econometric Society, vol. 66(1), pages 47-78, January.
  11. Raj, Baldev & Slottje, Daniel J, 1994. "The Trend Behavior of Alternative Income Inequality Measures in the United States from 1947-1990 and the Structural Break," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 479-87, October.
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