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Variables binaires et tests prédictifs contre les changements structurels

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  • Dufour, Jean-Marie

    (Université de Montréal)

Abstract

The main purpose of the paper is to illustrate the use of a dummy variable interpretation of the predictive Chow test against structural change. After describing how the predictive Chow test against structural change in linear regression models can be viewed as a test on the coefficients of a set of dummy variables, it is shown that these can provide useful additional information on the importance and timing of structural changes. Then, the approach is illustrated by applying it to a version of the St. Louis equation (in rate-of-change form) estimated over the period 1953/I-1976/IV: we detect some instability in the 1970's but find it is rather localized, being linked mainly to two quarters (1973/IV and 1975/III).

Suggested Citation

  • Dufour, Jean-Marie, 1981. "Variables binaires et tests prédictifs contre les changements structurels," L'Actualité Economique, Société Canadienne de Science Economique, vol. 57(3), pages 376-386, juillet-s.
    • Handle: RePEc:ris:actuec:v:57:y:1981:i:3:p:376-386
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    References listed on IDEAS

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    1. Brunner, Karl & Meltzer, Allan H., 1976. "The Phillips curve," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 1(1), pages 1-18, January.
    2. Fisher, Franklin M, 1970. "Tests of Equality Between Sets of Coefficients in Two Linear Regressions: An Expository Note," Econometrica, Econometric Society, vol. 38(2), pages 361-366, March.
    3. Keith M. Carlson, 1978. "Does the St. Louis equation now believe in fiscal policy?," Review, Federal Reserve Bank of St. Louis, vol. 60(Feb), pages 13-19.
    4. Dufour, Jean-Marie, 1980. "Dummy variables and predictive tests for structural change," Economics Letters, Elsevier, vol. 6(3), pages 241-247.
    5. Lucas, Robert Jr, 1976. "Econometric policy evaluation: A critique," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 1(1), pages 19-46, January.
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