This paper surveys selected applications of the Lorenz curve and related stochastic orders in economics and econometrics, with a bias towards problems in statistical distribution theory. These include characterizations of income distributions in terms of families of inequality measures, Lorenz...

In a recent article, Bai and Perron (2003, Journal of Applied Econometrics) present a comprehensive discussion of computational aspects of multiple structural change models along with several empirical examples. Here, we report on the results of a replication study using the R statistical...

We consider the finite sample power of various tests against serial correlation in the disturbances of a linear regression when these disturbances follow a stationary long memory process. It emerges that the power depends on the form of the regressor matrix and that, for the Durbin-Watson test...

This paper obtains Lorenz ordering relationships among order statistics from log-logistic samples of possibly different sizes. Some results extend other families including the Lomax, Burr III and Burr XII distributions.

The classical approach to testing for structural change employs retrospective tests using a historical data set of a given length. Here we consider a wide array of fluctuation-type tests in a monitoring situation – given a history period for which a regression relationship is known to be...

This paper introduces ideas and methods for testing for structural change in linear regression models and presents how these have been realized in an R package called strucchange. It features tests from the generalized uctuation test framework as well as from the F test (Chow test) framework....

OLS is as efficient as GLS in the linear regression model with long-memory errors as the long-memory parameter approaches the boundary of the stationarity region_ provided the model contains a constant term. This generalizes previous results of Samarov Taqqu (Journal of Time Series Analysis 9...

The paper presents an approach to the analysis of data that contains (multiple) structural changes in a linear regression setup. We implement various strategies which have been suggested in the literature for testing against structural changes as well as a dynamic programming algorithm for the...

The paper discusses structural change as possible mechanism that generates the appearance of long memory in economic time series. It shows that there are no long memory effects in German stock returns and that long memory in squares of German stock returns disappears once shifting means are...