A Switching Regression Model with Different Change-Points for Individual Coefficients and its Application to the Energy Demand Equations for Japan
In this paper, we set up a switching regression model in which individual coefficients are allowed to shift at different change-points. We also apply it to the energy demand equations and examine structural change in the demands for total fuel oil and for light oil and kerosene at the second oil crisis. It is shown that assuming the different change-points for individual coefficients yields more plausible results than assuming the same change-point for all coefficients.
KeywordsPrice Elasticity Relative Price Income Elasticity Demand Equation Individual Coefficient
Unable to display preview. Download preview PDF.
- Johnston J (1984) Econometric methods, 3rd ed. McGraw-Hill, New YorkGoogle Scholar
- Katayama S, Ohtani K, Toyoda T (1987) Estimation of structural change in the import and export equations: an international comparison. The Economic Studies Quarterly 38:148–158Google Scholar
- Ohtani K, Katayama S (1985) An alternative gradual switching regression model and its application. The Economic Studies Quarterly 36:148–153Google Scholar
- Salazar D, Broemeling L, Chi A (1981) Parameter changes in a regression model with autocorrelated errors. Communications in Statistics-Theory and Methods A10:1751–1758Google Scholar
- Toyoda T, Ohtani K, Katayama S (1987) Structural change in oil consumption in Japan: an econometric analysis of effects of the two oil crises. Kobe University Economic Review 33:33–47Google Scholar
- Tsurumi H (1980) A Bayesian estimation of structural shifts by gradual switching regressions with an application to the US gasoline market. In: Zellner A (ed) Bayesian analysis in econometrics and statistics: essays in honor of Harrold Jeffreys. North-Holland, Amsterdam, pp 213–240Google Scholar
- Watt PA (1979) Tests of equality between sets of coefficients in two linear regressions when disturbance variances are unequal: some small sample properties. The Manchester School of Economic and Social Studies 47:391–396Google Scholar