Testing for a structural change of gradient in regression modelling

White, P. , Webber, D. J. and Helvin, A. (2010) Testing for a structural change of gradient in regression modelling. Empirical Economics Letters, 9 (8). pp. 819-826. ISSN 1681- 8997

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Publisher's URL: http://www.eel.my100megs.com/volume-9-number-8.htm

Abstract

We present a “broken stick” method to model structural changes of gradient in a regression model. The assessment of the statistical significance of the nodes in the model is assessed using bootstrap techniques. The method is illustrated using output data across the EU but more generally applies when modelling changes of gradient in a regression model whilst fixing the change point and preserving continuity.

Item Type:Article
Uncontrolled Keywords:chow test, broken stick regression
Faculty/Department:Faculty of Business and Law > Department of Accounting, Economics and Finance
~Pre-2012 Faculty Structure > Faculty of Business and Law > Department of Accounting, Economics and Finance
ID Code:15890
Deposited By: Professor D. Webber
Deposited On:01 Nov 2011 16:14
Last Modified:25 Nov 2012 08:05

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