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A Sequential Approach to Testing for Structural Change in Econometric Models

  • Garry D. A. Phillips
  • Brendan P. M. McCabe
Part of the Studies in Empirical Economics book series (STUDEMP)

Summary

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.

Keywords

Serial Correlation Econometric Model Sequential Approach Sequential Procedure Monte Carlo Experiment 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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References

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Copyright information

© Physica-Verlag Heidelberg 1989

Authors and Affiliations

  • Garry D. A. Phillips
    • 1
  • Brendan P. M. McCabe
    • 2
  1. 1.Dep. of Econometrics and Social StatisticsUniversity of ManchesterManchesterEngland
  2. 2.School of Economic StudiesUniversity of LeedsLeedsUK

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