Abstract
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.
We thank Professor S. Katayama for his help in another related project.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
References
Bacon DW, Watts DG (1971) Estimating the transition between two intersecting straight lines. Biometrika 58:525–534
Boughton JM (1981) Recent instability of the demand for money: an international perspective. Southern Economic Journal 47:579–597
Chow GC (1960) Tests of equality between sets of coefficients in two linear regressions. Econometrica 28:591–605
Johnston J (1984) Econometric methods, 3rd ed. McGraw-Hill, New York
Katayama S, Ohtani K, Toyoda T (1987) Estimation of structural change in the import and export equations: an international comparison. The Economic Studies Quarterly 38:148–158
Ohtani K (1982) Bayesian estimation of the switching regression model with autocorrelated errors. Journal of Econometrics 18:251–261
Ohtani K, Katayama S (1985) An alternative gradual switching regression model and its application. The Economic Studies Quarterly 36:148–153
Quand RE (1958) The estimation of the parameters of a linear regression system obeying two separate regimes. Journal of the American Statistical Association 53:873–880
Salazar D, Broemeling L, Chi A (1981) Parameter changes in a regression model with autocorrelated errors. Communications in Statistics-Theory and Methods A10:1751–1758
Stern RM, Baum CF, Greene MN (1979) Evidence on structural change in the demand for aggregate U.S. imports and exports. Journal of Political Economy 87:179–192
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 33:33–47
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 213–240
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 47:391–396
Author information
Authors and Affiliations
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 1989 Physica-Verlag Heidelberg
About this paper
Cite this paper
Toyoda, T., Ohtani, K. (1989). A Switching Regression Model with Different Change-Points for Individual Coefficients and its Application to the Energy Demand Equations for Japan. In: Krämer, W. (eds) Econometrics of Structural Change. Studies in Empirical Economics. Physica-Verlag HD. https://doi.org/10.1007/978-3-642-48412-4_3
Download citation
DOI: https://doi.org/10.1007/978-3-642-48412-4_3
Publisher Name: Physica-Verlag HD
Print ISBN: 978-3-642-48414-8
Online ISBN: 978-3-642-48412-4
eBook Packages: Springer Book Archive