Statistical Analysis and Forecasting of Economic Structural Change

edited by Peter Hackl

This book treats methods and problems of the statistical analysis of economic data in the context of structural change. It documents the state of the art, gives insights into existing methods and describes new developments and trends. An introductory chapter gives a survey of the book and puts the following chapters into a broader context. The rest of the volume is organized in three parts. - Identification of Structural Change: This part is con cerned with the detection of parameter nonconstancy. - Model Building in the Presence of Structural Change: In this part models are addressed that are generaliza tions of constant parameter models. - Data Analysis and Modeling: This part deals with real life structural change situations. The book is intended to stimulate and improve communication between economists and statisticians concerning methods and their corresponding fields of application that are of increasing importance for both theory and practice

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Year of publication:	1989
Other Persons:	Hackl, Peter (ed.)
Publisher:	Berlin, Heidelberg : Springer Berlin Heidelberg
Subject:	Strukturwandel \| Structural change \| Prognoseverfahren \| Forecasting model \| Statistische Methodenlehre \| Statistical theory \| Schätztheorie \| Estimation theory

Extent:	Online-Ressource (XIX, 490 p) online resource
Type of publication:	Book / Working Paper
Language:	English
Notes:	I Introduction1 What Can Statistics Contribute to the Analysis of Economic Structural Change? -- II Identification of Structural Change -- 2 Testing for Structural Change in Simultaneous Equation Models -- 3 Specification and Stability Tests versus Jackknifing: Some Illustrative Examples S -- 4 The Robustness of the Chow Test to Autocorrelation among Disturbances -- 5 Tests against Nonconstancy in Linear Models Based on Counting Statistics -- 6 Nonparametric Tests for Shift and Change in Regression at an Unknown Time Point -- 7 Detection of Join Point in Regression Models -- 8 On the Identification of Time for Structural Changes by MOSUM-SQ and CUSUM-SQ Procedures -- 9 The Local Power of the CUSUM-SQ Test against Heteroscedasticity -- 10 Bahadur Efficiency of Tests for a Shift in Location of Normal Populations -- 11 The Use of Graphical Displays in the Analysis of Structural Change -- III Model Building in the Presence of Structural Change -- 12 Adaptive Estimation and Structural Change in Regression and Time Series Models -- 13 An Adaptive Method of Regression Analysis -- 14 Changing and Random Coefficient Models. A Survey -- 15 Nonparametric Estimation of Time-Varying Parameters -- 16 Latent Variables in Regression Analysis -- 17 Structural Change and Time Series Analysis -- 18 Thresholds, Stability, Nonlinear Forecasting and Irregularly Sampled Data -- 19 Forecasting in Situations of Structural Change: A General Approach -- 20 Updating Parameters of Linear Change Point Models -- IV Data Analysis and Modeling -- 21 Change Point Problem Relating to the Poverty Structure -- 22 Statistical Identification of Nonlinear Dynamics in Macroeconomics Using Nonlinear Time Series Models -- 23 Econometrics of Technical Change: Techniques and Problems -- 24 Local Autoregression Models for Detection of Changes in Causality -- 25 Investment, Taxation, and Econometric Policy Evaluation: Some Evidence on the Lucas Critique -- Author Index -- List of Authors.
ISBN:	978-3-662-02571-0 ; 978-3-662-02573-4
Other identifiers:	10.1007/978-3-662-02571-0 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013522397