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Structural change in macroeconomic time series: A complex systems perspective

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

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File URL: http://www.sciencedirect.com/science/article/pii/S0164-0704(05)00078-9
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Article provided by Elsevier in its journal Journal of Macroeconomics.

Volume (Year): 28 (2006)
Issue (Month): 1 (March)
Pages: 136-150

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Handle: RePEc:eee:jmacro:v:28:y:2006:i:1:p:136-150
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/622617

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  1. Ramsey, J.B. & Rothman, P., 1993. "Time Irreversibility and Business Cycle Asymmetry," Working Papers 93-39, C.V. Starr Center for Applied Economics, New York University.
  2. Hansen, B.E., 1991. "Inference when a Nuisance Parameter is Not Identified Under the Null Hypothesis," RCER Working Papers 296, University of Rochester - Center for Economic Research (RCER).
  3. Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70.
  4. 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.
  5. 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.
  6. Potter, Simon M, 1995. "A Nonlinear Approach to US GNP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(2), pages 109-25, April-Jun.
  7. Wild, Phillip, 2002. "A Spectral-Based Cusum Test Of Evolutionary Change," Macroeconomic Dynamics, Cambridge University Press, vol. 6(03), pages 385-407, June.
  8. Hinich , Melvin J. & Rothman, Philip, 1998. "Frequency-Domain Test Of Time Reversibility," Macroeconomic Dynamics, Cambridge University Press, vol. 2(01), pages 72-88, March.
  9. 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.
  10. 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.
  11. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-56, July.
  12. Prof John Foster, 2004. "From Simplistic to Complex Systems in Economics," Discussion Papers Series 335, School of Economics, University of Queensland, Australia.
  13. 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.
  14. 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 357-84, March.
  15. 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 S119-36, Suppl. De.
  16. 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.
  17. Lucas, Robert Jr, 1976. "Econometric policy evaluation: A critique," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 1(1), pages 19-46, January.
  18. 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.
  19. Stephanie Forrest & Terry Jones, 1994. "Modeling Complex Adaptive Systems with Echo," Working Papers 94-12-064, Santa Fe Institute.
  20. Talwar, Prem P., 1983. "Detecting a shift in location : Some robust tests," Journal of Econometrics, Elsevier, vol. 23(3), pages 353-367, December.
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