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Disequilibrium Modeling, Switching Regressions, and Their Relationship to Structural Change

  • G. S. Maddala
Conference paper

Summary

Disequilibrium and self-selection models do not directly deal with structural change. But both are switching regression models with endogenous switching and the techniques of analysis for switching regression models can be used to study structural change. The chapter discusses the different uses of these models in the modeling of structural change. One class of such models is the Markov switching model which has been used to analyze exchange rates, stock prices, and nonstationary time series. These are models with exogenous switching. The other class of models, with endogenous switching, can be fruitfully applied to analyze structural change which follow policy changes that eliminate opportunities of self-selection that economic agents have.

Keywords

Regime Shift Switching Model Switching Regression Economic Time Series Nonstationary Time Series 
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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Copyright information

© Springer-Verlag Berlin Heidelberg 1991

Authors and Affiliations

  • G. S. Maddala

There are no affiliations available

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