Abstract
In this paper, we set up a switching regression model in which individual coefficients are allowed to shift at different change-points. We also apply it to the energy demand equations and examine structural change in the demands for total fuel oil and for light oil and kerosene at the second oil crisis. It is shown that assuming the different change-points for individual coefficients yields more plausible results than assuming the same change-point for all coefficients.
We thank Professor S. Katayama for his help in another related project.
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© 1989 Physica-Verlag Heidelberg
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Toyoda, T., Ohtani, K. (1989). A Switching Regression Model with Different Change-Points for Individual Coefficients and its Application to the Energy Demand Equations for Japan. 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_3
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DOI: https://doi.org/10.1007/978-3-642-48412-4_3
Publisher Name: Physica-Verlag HD
Print ISBN: 978-3-642-48414-8
Online ISBN: 978-3-642-48412-4
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