Generalized Predictive Tests and Structural Change Analysis in Econometrics
A generalized predictive testing procedure for structural stability in nonlinear dynamic simultaneous equations models is presented. It has several attractive features: (1) the tests are based on easy-to-compute predicted residuals; (2) the prediction subsample can be arbitrarily small; (3) only consistency is required and allowance is made for data-based model selection; (4) it is possible to analyze the timing and form of structural change equation by equation or globally, allowing an exploratory analysis of structural change conveniently summarized in a predictive analysis table; and (5) general forms of temporal dependence between model disturbances are allowed. Copyright 1994 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.
Volume (Year): 35 (1994)
Issue (Month): 1 (February)
|Contact details of provider:|| Postal: |
Phone: (215) 898-8487
Fax: (215) 573-2057
Web page: http://www.econ.upenn.edu/ier
More information through EDIRC
|Order Information:|| Web: http://www.blackwellpublishing.com/subs.asp?ref=0020-6598 Email: |
When requesting a correction, please mention this item's handle: RePEc:ier:iecrev:v:35:y:1994:i:1:p:199-229. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing)or ()
If references are entirely missing, you can add them using this form.