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.
Helpful comments by David Hendry, Grayham Mizon and Jan Kiviet, on an earlier version of a related paper, are gratefully acknowledged.
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© 1989 Physica-Verlag Heidelberg
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Phillips, G.D.A., McCabe, B.P.M. (1989). A Sequential Approach to Testing for Structural Change in Econometric Models. In: Krämer, W. (eds) Econometrics of Structural Change. Studies in Empirical Economics. Physica-Verlag HD. https://doi.org/10.1007/978-3-642-48412-4_8
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DOI: https://doi.org/10.1007/978-3-642-48412-4_8
Publisher Name: Physica-Verlag HD
Print ISBN: 978-3-642-48414-8
Online ISBN: 978-3-642-48412-4
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