Stability in Econometric Relations

Authors

  • Joaquín Vial Departamento de Economía, Universidad de Santiago de Chile image/svg+xml

Keywords:

econometrics, structural stability, parameter estimation, regression models, developing countries, structural change

Abstract

This article discusses estimation problems associated to the lack of structural stability in econometrics. In revising a number of issues concerning the topic, the author makes comments and recommendations on its relevance to applied econometric studies in developing countries.

Downloads

Download data is not yet available.

References

Brown, R. L., Durbin, J., & Evans, J. M. (1975). Techniques for testing the constancy of regression relationships over time. Journal of the Royal Statistical Society. Series B, 37(2), 149–192.

Chow, G. C. (1960). Tests of equality between sets of coefficients in two linear regressions. Econometrica, 28(3), 591–605. https://doi.org/10.2307/1910133

Chow, G. C. (1984). Random and changing coefficient models. In Z. Griliches & M. D. Intriligator (Eds.), Handbook of econometrics (Vol. 2). North-Holland. https://doi.org/10.1016/s1573-4412(84)02013-4

Corbo, V. (1982). Desequilibrios de stocks, shocks monetarios y estabilidad de la demanda de dinero en Chile. Cuadernos de Economía.

Díaz-Alejandro, C. (1985). Good-bye financial repression, hello financial crash. Journal of Development Economics, 19(1-2), 1–24. https://doi.org/10.1016/0304-3878(85)90036-7

Dufour, J.-M. (1982). Recursive stability analysis of linear regression relationships: An exploratory methodology. Journal of Econometrics, 19(1), 31–76. https://doi.org/10.1016/0304-4076(82)90050-1

Geweke, J. (1984). Inference and causality in economic time series models. In Z. Griliches & M. D. Intriligator (Eds.), Handbook of econometrics (Vol. 2). North-Holland. https://doi.org/10.1016/s1573-4412(84)02011-0

Gujarati, D. (1970). Use of dummy variables in testing for equality between sets of coefficients in linear regressions: A note. The American Statistician, 24(1), 50–52. https://doi.org/10.1080/00031305.1970.10477181

Haindl, E. (1986). Trimestralización del producto geográfico bruto por origen y destino. Estudios de Economía.

Harvey, A. C. (1976). An alternative proof and generalization of a test for structural change. The American Statistician, 30(3), 122–123. https://doi.org/10.1080/00031305.1976.10479156

Hendry, D. F. (1980). Econometrics: Alchemy or science? Economica, 47(188), 387–406.

Hendry, D. F., & Wallis, K. F. (Eds.). (1984). Econometrics and quantitative economics. Basil Blackwell.

Johnston, J. (1975). Métodos de econometría (3.ª ed.). Vicens Vives.

Judge, G. G., Griffiths, W. E., Hill, R. C., & Lee, T.-C. (1980). The theory and practice of econometrics. John Wiley & Sons.

Kuh, E., & Neese, J. (1982). Econometric model diagnostics. In G. C. Chow & P. Corsi (Eds.), Evaluating the reliability of macro-economic models. John Wiley & Sons.

Le Fort, G. (1986). Trimestralización de series de balanza de pagos: Método de series relacionadas con información completa. Estudios de Economía.

Le Fort, G., Budnevich, C., & Riveros, L. (1986). Trimestralización de las series nacionales del empleo. Estudios de Economía.

Liu, T.-C. (1960). Underidentification, structural estimation, and forecasting. Econometrica, 28(4), 855–865. https://doi.org/10.2307/1907567

Lucas, R. (1976). Econometric policy evaluation: A critique. In K. Brunner & A. Meltzer (Eds.), Studies in business-cycle theory. MIT Press.

Maddala, G. S. (1977). Econometrics. McGraw-Hill.

Marschak, J. (1950). Statistical inference in economics: An introduction. In T. C. Koopmans (Ed.), Statistical inference in dynamic economic models (Cowles Commission Monograph 10). John Wiley & Sons.

Meltzer, A. (1983). Rational expectations, risk, uncertainty and market responses. In P. Wachtel (Ed.), Crises in the economic and financial structure. Lexington Books.

Poirier, D. J. (1976). The econometrics of structural change. North-Holland.

Rojas. (1986). Un análisis empírico de la demanda por trabajo en Chile 1977-1985 [Mimeo]. Banco Central de Chile.

Schmidt-Hebbel, K., & Sepúlveda. (1986). Trimestralización de variables nominales y reales de cuentas nacionales de Chile: 1974-1982 (Documento de Trabajo N.º 11). Departamento de Economía, Universidad de Santiago de Chile.

Sims, C. A. (1980). Macroeconomics and reality. Econometrica, 48(1), 1–48. https://doi.org/10.2307/1912017

Sims, C. A. (1982). Policy analysis with econometric models. Brookings Papers on Economic Activity, 1982(1), 107–164. https://doi.org/10.2307/2534318

Toyoda, T. (1974). Use of the Chow test under heteroscedasticity. Econometrica, 42(3), 601–608. https://doi.org/10.2307/1911796

Downloads

Published

1987-04-30

How to Cite

Vial, J. (1987). Stability in Econometric Relations. Economic Analysis Review, 2(1), 39–54. Retrieved from https://www.rae-ear.org/index.php/rae/article/view/294

Issue

Vol. 2 No. 1 (1987)

Section

Articles

License

Copyright (c) 1987 Joaquín Vial

Creative Commons License

This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

Article usage

ViewsTimes this article's page was opened since the journal started recording statistics. One person can visit more than once.
108
DownloadsTimes the full text of this article (usually the PDF) was opened or downloaded.
135

All time, as recorded by the journal.

Last 2 years: 50 views, 75 downloads.

1.25 downloads per view (journal average 1.65).Downloads of the full text for every abstract view of this article, compared with the whole journal.

Explore the journal's metrics