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

  • Bruce E. Hansen

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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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. Helmut Luetkepohl & Pentti Saikkonen, 2000. "Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time," Econometric Society World Congress 2000 Contributed Papers 0342, Econometric Society.
  2. 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.
  3. Anindya Banerjee & Robin L. Lumsdaine & James H. Stock, 1990. "Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence," NBER Working Papers 3510, National Bureau of Economic Research, Inc.
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  5. Perron, P. & Bai, J., 1995. "Estimating and Testing Linear Models with Multiple Structural Changes," Cahiers de recherche 9552, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
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  7. Bruce E. Hansen, 1998. "Testing for Structural Change in Conditional Models," Boston College Working Papers in Economics 310., Boston College Department of Economics.
  8. Donald W.K. Andrews & Werner Ploberger, 1992. "Optimal Tests When a Nuisance Parameter Is Present Only Under the Alternative," Cowles Foundation Discussion Papers 1015, Cowles Foundation for Research in Economics, Yale University.
  9. 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.
  10. Bai, Jushan, 1993. "Least squares estimation of a shift in linear processes," MPRA Paper 32878, University Library of Munich, Germany.
  11. Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers 338, Princeton, Department of Economics - Econometric Research Program.
  12. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
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  14. 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.
  15. Donald W.K. Andrews, 1990. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Cowles Foundation Discussion Papers 943, Cowles Foundation for Research in Economics, Yale University.
  16. Perron, P., 1990. "Further Evidence On Breaking Trend Functions In Macroeconomics Variables," Papers 350, Princeton, Department of Economics - Econometric Research Program.
  17. Bruce E. Hansen, 1995. "Approximate Asymptotic P-Values for Structural Change Tests," Boston College Working Papers in Economics 297., Boston College Department of Economics.
  18. 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.
  19. Zivot, Eric & Andrews, Donald W K, 2002. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 25-44, January.
  20. Tai-leung Chong, Terence, 1995. "Partial parameter consistency in a misspecified structural change model," Economics Letters, Elsevier, vol. 49(4), pages 351-357, October.
  21. Lawrence J. Christiano, 1988. "Searching For a Break in GNP," NBER Working Papers 2695, National Bureau of Economic Research, Inc.
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  23. 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, vol. 65(3), pages 395-432, July.
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