The New Palgrave Dictionary of Economics

2018 Edition
| Editors: Macmillan Publishers Ltd

Structural Change, Econometrics of

  • Pierre Perron
Reference work entry


This article is concerned with methodological issues related to estimation, testing and computation in the context of structural changes in linear models. The topics covered are: methods related to estimation and inference about break dates for single equations with or without restrictions, with extensions to multi-equations systems where allowance is also made for changes in the variability of the shocks; tests for structural changes including tests for single or multiple changes and tests valid with unit root or trending regressors, and tests for changes in the trend function of a series that can be integrated or trend-stationary.


Break dates Cointegration Computation Convergence Estimation Heteroskedasticity Hypothesis testing Lagrange multiplier tests Likelihood ratio Linear models Long-run variance Quasi-maximum likelihood Serial correlation Spurious regression Structural change, econometrics of Temporal dependence Testing Trending variables Unit roots Variance Vector autoregressions Wald test Wiener process 

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© Macmillan Publishers Ltd. 2018

Authors and Affiliations

  • Pierre Perron
    • 1
  1. 1.