By Gordon J. Anderson, Grayham E. Mizon (auth.), Professor Dr. Peter Hackl (eds.)
In 1984, the college of Bonn (FRG) and the foreign Institute for utilized process research (IIASA) in Laxenburg (Austria), created a joint learn workforce to investigate the connection among fiscal development and structural switch. The study workforce used to be to ascertain the commodity composition in addition to the dimensions and path of commodity and credits flows between nations and areas. Krelle (1988) stories at the result of this "Bonn-IIASA" examine undertaking. whilst, an off-the-cuff IIASA operating staff was once initiated to house prob lems of the statistical research of financial information within the context of structural swap: What instruments will we need to determine nonconstancy of version parameters? What kind of versions are quite appropriate to nonconstant constitution? How is forecasting plagued by the presence of nonconstant constitution? What difficulties might be expected in using those instruments and types? a few 50 specialists, more often than not statisticians or econometricians from approximately 15 international locations, got here jointly in Lodz, Poland (May 1985); Berlin, GDR (June 1986); and Sulejov, Poland (September 1986) to offer and talk about their findings. This quantity features a chosen set of these convention contributions in addition to a number of in particular invited chapters.
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Extra info for Statistical Analysis and Forecasting of Economic Structural Change
The ARCH model of Engle (1982), and the many closely related extensions of it, provide a rich class of models capable of capturing the effects of volatility changes. In this section we have mentioned a range of parametric models that are capable of being used to characterize economic structural change; and though this range is wide, it is by no means exhaustive. In addition, the class of models of potential relevance in modeling economic structural change can be further widened by considering nonparameteric and semi-parametric models.
This test statistic is an optimal one, in the context of the normal linear regression model, for testing constancy of the regression coefficients across two or more regimes, each of which has enough data points to allow reliable es- Gordon J. Anderson and Grayham E. Mizon 15 timation of the regression coefficients, conditional on the error variances being constant across regimes - see Chow (1960). It is therefore sensible to test the hypothesis that the error variances are constant before testing the hypothesis of regression coefficient constancy.
Y. F. (1986), Econometric evaluation of linear macro-economic models. Applied Economics Discussion Paper No. 10, Institute of Economics and Statistics, Oxford University. Geisser, S.