Accession Number : ADA112482

Title :   Testing for Structural Change by D-Methods in Switching Simultaneous Equations Models.

Descriptive Note : Professional paper,

Corporate Author : CENTER FOR NAVAL ANALYSES ALEXANDRIA VA NAVAL STUDIES GROUP

Personal Author(s) : Lee,Lung-Fei ; Maddala,G S ; Trost,R P

PDF Url : ADA112482

Report Date : Feb 1982

Pagination or Media Count : 14

Abstract : The paper presents an extension of the Goldfeld-Quant D-method to switching simultaneous equation systems with endogenous switching. The method is useful to apply tests for equality of coefficients across regimes in switching simultaneous equation systems with selectivity. The paper derives the valid instrumental variables to use in this situation, the asymptotic covariance matrix of the suggested estimator and gives an empirical illustration. (Author)

Descriptors :   *Switching, *Simultaneous equations, *Equalization, Change detection, Test and evaluation, Parameters, Computations, Combinatorial analysis, Variational methods, Asymptotic series, Covariance, Matrix theory, Simplification, Coefficients

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE