Many comparisons of the performance of public and private producers use a public/private ownership dummy variable to capture cost differences in cross section data. This is appropriate if the producer choice is random. The dummy variable model is, however, logically inconsistent if the producer...

We focus in these paper on Granger shifts or structural breaks. We show that when the assumption of parameter constancy is violated, due to occurrence of structural breaks, Granger causality tests can provide misleading inference about the underlying relationship of causality. We consider a...

From the frequentist's standpoint, here is presented an iterative algorithm for estimating the unknown parameters of two-phase linear regression model with autocorrelated errors. The case in which a change point is unknown is considered. Applications of two-phase linear regression model are...