Variables binaires et tests prédictifs contre les changements structurels : Une application à l’équation de St. Louis
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1981
- doi: 10.7202/600990ar
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L'Actualité économique ; vol. 57 no. 3 (1981)
Tous droits réservés © HEC Montréal, 1981
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Cambistry International exchange Exchange, Foreign Foreign exchange problem Foreign currency Currency exchange FX (Finance) Foreign money Forex Cambio extranjero Cambio internacional Cambio monetario Divisas Mercado de divisas Moneda--Cambio exterior Devises (monnaie) Cambisme Importations de capitaux Change international Change étranger Exportations de capitauxCiter ce document
Jean-Marie Dufour, « Variables binaires et tests prédictifs contre les changements structurels : Une application à l’équation de St. Louis », L'Actualité économique, ID : 10.7202/600990ar
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Résumé
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).