What Can Statistics Contribute to the Analysis of Economic Structural Change?
The role of statistics in the detection and assimilation of structural change in econometric models is analyzed. Detection of structural change has been made much easier and more sophisticated by recent developments in graphical analysis and recursive estimation and testing techniques, particularly for use on microcomputers. A typology of models incorporating structural change is presented, and methods for discriminating between these models are considered. It is also argued that statistical tests for the hypothesis of structural constancy play an important role in the evaluation of econometric models. In addition, it is noted that major changes in the sample correlations between variables, rather than being a nuisance for econometric model builders, is in fact an important stimulus to model evaluation and improvement.
KeywordsCovariance Income Assimilation Volatility Sonal
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