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Saturday, March 10, 2007

Structural breaks

The most recent issue of Econometrica has an article by Qu and Perron called
Estimating and Testing Structural Changes in Multivariate Regressions. You can find a free WP version here. The study provides a unified treatment of models with common breaks, partial structural breaks models, block partial breaks models and locally ordered breaks models, among others. The latter is novel and of particular interest given potential wide applicability in contexts
related to the Lucas critique.

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