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.