The New Palgrave Dictionary of Economics

2018 Edition
| Editors: Macmillan Publishers Ltd

Structural Change, Econometrics of

  • Pierre Perron
Reference work entry
DOI: https://doi.org/10.1057/978-1-349-95189-5_2608

Abstract

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.

Keywords

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 

JEL Classifications

C10 
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Copyright information

© Macmillan Publishers Ltd. 2018

Authors and Affiliations

  • Pierre Perron
    • 1
  1. 1.