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Testes de Alteração de Estrutura em Modelos Multivariados: uma visita guiada pela literatura

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  • Vasco Gabriel

    (University of Minho)

Abstract

possibilidade de ocorrência de mudançaas estruturais tem vindo a receber uma atenção crescente, dado poderem conduzir a inferências erradas e a maus desempenhos em termos de previsão e de simulação em modelos econométricos. Este estudo aborda alguns testes de alteração de estrutura no contexto dos modelos de regressão linear. Para além de oferecer uma perspectiva da evolução dos procedimentos, destaca testes recentemente surgidos na literatura e o seu uso na análise de modelos de cointegração. Como ilustração, alguns destes testes são aplicados a um modelo simples de paridade de poderes de compra, procurando mostrar a sua utilidade em estudos empíricos.

Suggested Citation

  • Vasco Gabriel, 2002. "Testes de Alteração de Estrutura em Modelos Multivariados: uma visita guiada pela literatura," Notas Económicas, Faculty of Economics, University of Coimbra, issue 16, pages 16-33, November.
  • Handle: RePEc:gmf:journl:y:2002:i:16:p:16-33
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