Editors' introduction recent developments in the econometrics of structural change

Testing and analyzing structural change in econometric models is a very active research area. Up to a decade ago, econometricians mainly focused on linear regression models. In recent years, we have witnessed several new theoretical results for stationary and nonstationary dynamic models, nonlinear regression models, simultaneous equations and Euler equations models. This volume brings together a collection of papers which reflects the diversity of the recent developments on this subject. In October 1992, we had the pleasure of hosting at the Universite de Montreal a very stimulating C.R.D.E/Journal of Econometrics conference on Recent Developments in the Econometrics of Structural Change. We tried to assemble a program comprising the main topics on which important methodological advances have recently been made for the econometric analysis of structural change. The twelve articles which now appear in this volume are the result of this venture. These papers cover four broad themes: (1) finite-sample tests of parameter constancy against the presence of structural change (Andrews, Lee, and Ploberger; Dufour and Kiviet); (2) asymptotic procedures for models with integrated time series (Ghysels and Perron; Gregory and Hansen); (3) asymptotic procedures for various dynamic models (Hamilton; Hidalgo and Robinson; Ploberger and Kramer); (4) Monte Carlo studies appraising the performance of recently developed tests (Campos, Ericsson, and Hendry; Diedold and Chen); and last but not least (5) empirical studies of structural change (Hack1 and Westlund; Liitkepohl and Herwartz; Oliner, Rudebusch, and Sichel). The papers in the volume have been organized according to these themes and we shall now discuss them in this order. The article by Andrews, Lee, and Ploberger considers a generalized changepoint problem which consists in testing the constancy of a standard normal linear regression model against an alternative where the regression may switch at m unknown points (m 2 1). This problem is not regular because the breakpoints are not identified under the null hypothesis, so that standard

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