A Sequential Approach to Testing for Structural Change in Econometric Models
The paper shows that the sequential approach to testing econometric models, particularly testing for structural change, is both feasible and potentially very useful. In fact, this paper makes clear the possibility of using the sequential approach as suggested by Dhrymes et al. (1972) and shows that the statistical dependence between successive tests can be overcome in some cases.
KeywordsSerial Correlation Econometric Model Sequential Approach Sequential Procedure Monte Carlo Experiment
Unable to display preview. Download preview PDF.
- Anderson GJ, Mizon GE (1984) Parameter constancy tests: old and new. Discussion paper No 8325, University of SouthamptonGoogle Scholar
- Anderson TW (1971) The statistical analysis of time series. Wiley, New YorkGoogle Scholar
- Basu D (1955) On statistics independent of a complete sufficient statistic. Sankhya 15:377–380Google Scholar
- Dhrymes PJ, Howrey EP, Hymans SH, Kmenta J, Learner EE, Quandt RE, Ramsey JB, Shapiro HT, Zarnowitz V (1972) Criteria for the evaluation of econometric models. Annals of Economic and Social Measurement 1/3:291–324Google Scholar
- Graybill F (1975) Theory and application of the linear model. Duxbury Press Harrison MJ,Google Scholar
- McCabe BPM (1977) A test for heteroscedasticity based on ordinary least squares residuals. Journal of the American Statistical Association 74:494–499Google Scholar
- Harvey AC, Phillips GDA (1977) Testing for structural change in simultaneous equation models. University of Kent, QSS Discussion Paper No 40Google Scholar
- Hogg RV, Craig AT (1956) Sufficient statistics in elementary distribution theory. Sankhya 17:209–216Google Scholar