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Structural change in macroeconomic time series: A complex systems perspective

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  • Hinich, Melvin J.
  • Foster, John
  • Wild, Phillip

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  • Hinich, Melvin J. & Foster, John & Wild, Phillip, 2006. "Structural change in macroeconomic time series: A complex systems perspective," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 136-150, March.
  • Handle: RePEc:eee:jmacro:v:28:y:2006:i:1:p:136-150
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    1. Hansen, Bruce E, 1996. "Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis," Econometrica, Econometric Society, vol. 64(2), pages 413-430, March.
    2. John Foster, 2005. "From simplistic to complex systems in economics," Cambridge Journal of Economics, Oxford University Press, vol. 29(6), pages 873-892, November.
    3. Hinich , Melvin J. & Rothman, Philip, 1998. "Frequency-Domain Test Of Time Reversibility," Macroeconomic Dynamics, Cambridge University Press, vol. 2(01), pages 72-88, March.
    4. Hansen, Bruce E., 2000. "Testing for structural change in conditional models," Journal of Econometrics, Elsevier, vol. 97(1), pages 93-115, July.
    5. Terasvirta, T & Anderson, H M, 1992. "Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages 119-136, Suppl. De.
    6. Bai, Jushan, 1996. "Testing for Parameter Constancy in Linear Regressions: An Empirical Distribution Function Approach," Econometrica, Econometric Society, vol. 64(3), pages 597-622, May.
    7. Potter, Simon M, 1995. "A Nonlinear Approach to US GNP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(2), pages 109-125, April-Jun.
    8. Andrews, Donald W K & Ploberger, Werner, 1994. "Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative," Econometrica, Econometric Society, vol. 62(6), pages 1383-1414, November.
    9. Ramsey, James B & Rothman, Philip, 1996. "Time Irreversibility and Business Cycle Asymmetry," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(1), pages 1-21, February.
    10. Kim, H. J., 1994. "Likelihood Ratio and Cumulative Sum Tests for a Change-Point in Linear Regression," Journal of Multivariate Analysis, Elsevier, vol. 51(1), pages 54-70, October.
    11. Stephanie Forrest & Terry Jones, 1994. "Modeling Complex Adaptive Systems with Echo," Working Papers 94-12-064, Santa Fe Institute.
    12. Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70.
    13. Melvin Hinich & John U. Farley, 1966. "Theory and Application of an Estimation Model for Time Series with Nonstationary Means," Management Science, INFORMS, vol. 12(9), pages 648-658, May.
    14. John Foster & Phillip Wild, 1999. "Detecting self-organisational change in economic processes exhibiting logistic growth," Journal of Evolutionary Economics, Springer, vol. 9(1), pages 109-133.
    15. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-856, July.
    16. Hendry, David F., 2000. "On detectable and non-detectable structural change," Structural Change and Economic Dynamics, Elsevier, vol. 11(1-2), pages 45-65, July.
    17. Talwar, Prem P., 1983. "Detecting a shift in location : Some robust tests," Journal of Econometrics, Elsevier, vol. 23(3), pages 353-367, December.
    18. Lucas, Robert Jr, 1976. "Econometric policy evaluation: A critique," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 1(1), pages 19-46, January.
    19. Wild, Phillip, 2002. "A Spectral-Based Cusum Test Of Evolutionary Change," Macroeconomic Dynamics, Cambridge University Press, vol. 6(03), pages 385-407, June.
    20. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-384, March.
    21. Farley, John U. & Hinich, Melvin & McGuire, Timothy W., 1975. "Some comparisons of tests for a shift in the slopes of a multivariate linear time series model," Journal of Econometrics, Elsevier, vol. 3(3), pages 297-318, August.
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    Cited by:

    1. Angel Asensio, 2007. "Inflation targeting drawbacks in the absence of a 'natural' anchor," Post-Print halshs-00189225, HAL.
    2. Angel Asensio, 2013. "Teaching Keynes’s theory to neoclassically formed minds," Chapters,in: Teaching Post Keynesian Economics, chapter 10, pages 163-186 Edward Elgar Publishing.
    3. Angel Asensio, 2011. "Inflation Targeting Drawbacks in the Absence of a ‘Natural’ Anchor: A Keynesian Appraisal of the Fed and ECB Policies from 1999 to 2006," Chapters,in: Credit, Money and Macroeconomic Policy, chapter 11 Edward Elgar Publishing.
    4. Neri Salvadori (ed.), 2010. "Institutional and Social Dynamics of Growth and Distribution," Books, Edward Elgar Publishing, number 13365, April.
    5. Di Guilmi, C. & Gallegati, M. & Landini, S., 2008. "Economic dynamics with financial fragility and mean-field interaction: A model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(15), pages 3852-3861.
    6. Angel Asensio, 2008. "The growing evidence of Keynes's methodology advantage and its consequences within the four macro-markets framework," Post-Print halshs-00189221, HAL.
    7. Domenico Delli Gatti & Corrado Di Guilmi & Mauro Gallegati & Simone Landini, 2012. "Reconstructing Aggregate Dynamics in Heterogeneous Agents Models. A Markovian Approach," Revue de l'OFCE, Presses de Sciences-Po, vol. 0(5), pages 117-146.
    8. Angel Asensio, 2012. "On Keynes’s Seminal Innovation and Related Essential Features: Revisiting the Notion of Equilibrium in The General Theory," Chapters,in: Keynes’s General Theory, chapter 1 Edward Elgar Publishing.
    9. Corrado Di Guilmi & Mauro Gallegati & Simone Landini, 2010. "Financial Fragility, Mean-field Interaction and Macroeconomic Dynamics: A Stochastic Model," Chapters,in: Institutional and Social Dynamics of Growth and Distribution, chapter 13 Edward Elgar Publishing.

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