JOURNAL BROWSE
Search
Advanced SearchSearch Tips
Structural Change and Stability in a Long-Run Parameter
facebook(new window)  Pirnt(new window) E-mail(new window) Excel Download
 Title & Authors
Structural Change and Stability in a Long-Run Parameter
Kim, Tae-Ho;
  PDF(new window)
 Abstract
This study performs statistical tests for stability of a long-run relationship in the telecommunication market system by identifying the time path of a recursively estimated cointegration parameter. A dummy variable is used to recover stability for the period that the hypothesis of stable cointegration is rejected, and then a proper cointegrating relation is derived. A dummy variable appears to reflect the structural change in the cointegrating relation according to the analytical results for the error correction term.
 Keywords
Long-run parameter;recursive estimation;short-run dynamics;
 Language
Korean
 Cited by
 References
1.
Andrews, D. W. K. (1993). Tests for parameter instability and structural change with unknown change point, Econometrica, 61, 821-856. crossref(new window)

2.
Bai, J. and Perron, P. (1998). Estimating and testing linear models with multiple structural changes, Econometrica, 66, 47-78. crossref(new window)

3.
Banerjee, A., Dolado, J. and Mestre, F. (1998). ECM tests for cointegration in a single-equation framework, Journal of Time Series Analysis, 19, 267-283. crossref(new window)

4.
Cheung, Y. W. and Ng, L. K. (1998). International evidence on the stock market and aggregate economic activity, Journal of Empirical Finance, 5, 281-296. crossref(new window)

5.
Choi, S. K., Lee, M. H. and Chung, G. H. (2001). Competition in Korean mobile telecommunications market: Business strategy and regulatory environment, Telecommunications Policy, 25, 125-138. crossref(new window)

6.
Golinelli, R. and Orsi, R. (2000). Testing for structural change in cointegrated relationships: Analysis of price-wages models for Poland and Hungary, Economics of Planning, 33, 18-51.

7.
Gregory, A.W., Nason, J. M. andWatt, D. G. (1996). Testing for structural breaks in cointegrated relationships, Journal of Econometrics, 71, 321-341. crossref(new window)

8.
Hansen, B. E. (1992). Tests for parameter instability in regressions with I(1) processes, Journal of Business and Economic Statistics, 10, 321-335. crossref(new window)

9.
Hansen, P. R. (2003). Structural changes in the cointegrated vector autoregressive model, Journal of Econometrics, 114, 261-295. crossref(new window)

10.
Hansen, H. and Johansen, S. (1992). Recursive estimation in cointegrated VAR models, Institute of Mathematical Statistics, Discussion papers, University of Copenhagen.

11.
Hansen, H. and Johansen, S. (1999). Some tests for parameter constancy in cointegrated VAR-models, Econometrics Journal, 2, 306-333. crossref(new window)

12.
Johansen, S. and Juselius, K. (1990). Maximum likelihood estimation and inference on cointegration with applications to the demand for money, Oxford Bulletin of Economics and Statistics, 52, 169-210.

13.
King, M. I. (1987). An alternative test for regression coefficient stability, The Review of Economics and Statistics, 69, 379-381. crossref(new window)

14.
Leybourne, S. L. and McCabe, B. P. M. (1989). On the distribution of some test statistics for coefficient constancy, Biometrika, 76, 169-177. crossref(new window)

15.
Nabeya, S. and Tanaka, K. (1988). Asymptotic theory of a test for the constancy of regression coefficients against the random walk alternative, The Annals of Statistics, 16, 218-235. crossref(new window)

16.
Nyblom, J. and Makelainen,T. (1983). Comparisons of tests for the presence of random walk coefficients in a simple linear model, Journal of the American Statistical Association, 84, 856-864.

17.
Paltridge, S. (2000). Current statistics, mobile communications update, Telecommunications Policy, 24, 453-456. crossref(new window)

18.
Phillips, P. C. B. and Hansen, B. E. (1990). Statistical inference in instrumental variables regression with I(1) processes, Review of Economic Studies, 57, 99-125. crossref(new window)

19.
Quintos, C. E. (1995). Sustainability of the deficit process with structural shifts, Journal of Business and Economic Statistics, 13, 409-417. crossref(new window)