Generalized Predictive Tests and Structural Change Analysis in Econometrics  

Oleh:

Hall, Alastair ; Ghysels, Eric ; Dufour, Jean-Marie

Jenis: Article from Bulletin/Magazine
Dalam koleksi: INTERNATIONAL ECONOMIC REVIEW vol. 35 no. 1 (1994), page 199-230.
Topik: ECONOMETRICS; generalized; predictive tests; structural change analysis; econometrics

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: II49.4 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

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.

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